Pages that link to "Item:Q2752040"
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The following pages link to Value-at-risk based portfolio optimization (Q2752040):
Displaying 15 items.
- A linearized value-at-risk model with transaction costs and short selling (Q320109) (← links)
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (Q342374) (← links)
- A matrix-based VaR model for risk identification in power supply networks (Q646223) (← links)
- Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem'' (Q953463) (← links)
- \(\alpha \)-conservative approximation for probabilistically constrained convex programs (Q969716) (← links)
- Estimating allocations for value-at-risk portfolio optimization (Q1028529) (← links)
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis. (Q1605418) (← links)
- In search of robust methods for multi-currency portfolio construction by value at risk (Q1732977) (← links)
- Value-at-risk optimization using the difference of convex algorithm (Q1929961) (← links)
- Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200 (Q2216399) (← links)
- How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
- VaR-based risk parity investment strategy and its application (Q4984721) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- (Q5152677) (← links)
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis (Q6049405) (← links)
