Mean-VaR portfolio optimization: a nonparametric approach
type: Item
instance of: scholarly article
title: Mean-VaR portfolio optimization: a nonparametric approach
zbMATH Open document ID: 1403.91317
author: Khin T. Lwin
author: Rong Qu
author: Bart L. MacCarthy
published in: European Journal of Operational Research
publication date: 2018-05-29T00:00:00Z
full work available at URL: Lwin 2017 a.pdf
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C29
zbMATH DE Number: 6875808
zbMATH Keywords: evolutionary computations
zbMATH Keywords: multi-objective constrained portfolio optimization
zbMATH Keywords: value at risk
zbMATH Keywords: nonparametric historical simulation
describes a project that uses: RiskMetrics
describes a project that uses: SPEA2
describes a project that uses: JADE
MaRDI profile type: Publication
OpenAlex ID: W2568732703
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DOI: 10.1016/J.EJOR.2017.01.005
description: scientific article; zbMATH DE number 6875808