Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
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Publication:342374
DOI10.1016/j.cor.2016.01.014zbMath1349.91322OpenAlexW2266071941MaRDI QIDQ342374
Branko Urosevic, Ranko Jelic, Vladimir Ranković, Mikica Drenovak
Publication date: 17 November 2016
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2016.01.014
Related Items (5)
Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ A risk index model for uncertain portfolio selection with background risk ⋮ Adaptive evolutionary algorithms for portfolio selection problems ⋮ Market risk management in a post-Basel II regulatory environment ⋮ A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
Uses Software
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