PROGRAMMING
Giulio Palomba and Luca Riccetti
THIS PAGE
CONTAINS ALL THE PROGRAMMING AND DATA FILES FOR REPLICATING THE
RESULTS OF
Giulio Palomba and Luca Riccetti (2012), PORTFOLIO FRONTIERS WITH RESTRICTIONS TO
TRACKING ERROR VOLATILITY AND VALUE AT RISK, Journal of Banking
and Finance, Volume 36, Issue 9, pp.
2604-2615, Elsevier
Giulio Palomba and Luca Riccetti (2019), ASSET MANAGEMENT WITH TEV AND VAR CONSTRAINTS: THE CONSTRAINED
EFFICIENT FRONTIERS, Studies in Economics and Finance, Volume 36, No. 3, pp. 492-516, Emerald Insight.
Riccardo Lucchetti, Mihaela Nicolau, Giulio Palomba and Luca Riccetti (2022), RECONCILING TEV AND VAR IN ACTIVE PORTFOLIO
MANAGEMENT: A NEW FRONTIER, Dipartimento di Scienze Economiche e Sociali (DISES),
Università Politecnica delle Marche, Ancona, Quaderno di ricerca
n. 461 (Working paper).
PROGRAM:
Script file (portfolio frontiers)
Script file (preliminary settings)
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