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Portfolio selection under VaR constraints - MaRDI portal

Portfolio selection under VaR constraints (Q2477611)

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scientific article
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English
Portfolio selection under VaR constraints
scientific article

    Statements

    title
    Portfolio selection under VaR constraints (English)
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    author
    Kostas Giannopoulos
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    Ephraim Clark
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    Radu S. Tunaru
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    publication date
    14 March 2008
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    zbMATH Keywords
    value-at-risk
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    portfolio selection
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    Monte Carlo simulation
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    conditional heteroskedasticity
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B30
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    91B82
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    zbMATH DE Number
    5249579
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    OpenAlex ID
    W1979420522
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