Maximize the Sharpe Ratio and Minimize a VaR

Robert B. Durand, Hedieh Jafarpour, Claudia Klüppelberg and Ross Maller
The Journal of Wealth Management Summer 2010, 13 (1) 91-102; DOI: https://doi.org/10.3905/JWM.2010.13.1.091

Article Information

vol. 13 no. 1 91-102
DOI 
https://doi.org/10.3905/JWM.2010.13.1.091
Published By 
Pageant Media Ltd
Print ISSN 
1534-7524
Online ISSN 
2374-1368
History 
  • Published online April 30, 2010.
Copyright & Usage 
© 2010 Pageant Media Ltd

Author Information

  1. Robert B. Durand
    1. is a professor of finance at the University of Western Australia in Australia. (robert.durand{at}uwa.edu.au)
  2. Hedieh Jafarpour
    1. is an associate professor in statistics at the Islamic Azad University in Shiraz. (hedieh.jafarpour{at}gmail.com)
  3. Claudia Klüppelberg
    1. is chair of statistics at the Munich University of Technology in Garching, Germany. (cklu{at}ma.tum.de)
  4. Ross Maller
    1. is professor of financial mathematics in the Centre for Mathematics and its Applications at the Australian National University in Canberra, Australia. (ross.maller{at}anu.edu.au)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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Maximize the Sharpe Ratio and Minimize a VaR
Robert B. Durand, Hedieh Jafarpour, Claudia Klüppelberg, Ross Maller
The Journal of Wealth Management Apr 2010, 13 (1) 91-102; DOI: 10.3905/JWM.2010.13.1.091
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