Mean-VaR portfolio selection under real constraints

DOI10.1007/s10614-009-9195-1zbMath1206.91075OpenAlexW1998618328MaRDI QIDQ625636

Eva Alfaro-Cid, Matilde O. Fernandez-Blanco, J. Samuel Baixauli-Soler

Publication date: 25 February 2011

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9195-1

zbMATH Keywords

optimizationheuristicsportfolio selectionrisk management

Mathematics Subject Classification ID

Related Items (9)

Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs ⋮ A multi-period fuzzy portfolio optimization model with minimum transaction lots ⋮ Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach ⋮ A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model ⋮ Two-stage international portfolio models with higher moment risk measures ⋮ Mean-VaR portfolio optimization: a nonparametric approach ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Copula-based Black-Litterman portfolio optimization

Uses Software

• SPEA2

Cites Work

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• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Analysis of the conditional stock-return distribution under incomplete specification.
• A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
• Genetic algorithms for portfolio selection problems with minimum transaction lots
• Improving portfolio efficiency: a genetic algorithm approach
• A compact mean-variance-skewness model for large-scale portfolio optimization and its application to the NYSE market
• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

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