RT Journal Article
SR Electronic
T1 A Value at Risk Approach to Risk-Return Analysis
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 60
OP 67
DO 10.3905/jpm.1999.319755
VO 25
IS 4
A1 Kevin Dowd
YR 1999
UL https://pm-research.com/content/25/4/60.abstract
AB The author's value at risk approach to risk-return analysis highlights the importance of dealing with net rather than gross exposures. A VaR approach can be used for investment, hedging, and general portfolio management decisions. It is particularly useful when making hedge decisions by helping to avoid a number of problems that can easily arise using the traditional approach to hedging.