A global optimization heuristic for portfolio choice with VaR and expected shortfall
Year of publication: |
2010
|
---|---|
Authors: | Gilli, Manfred ; Ke͏̈llezi, Evis |
Published in: |
Computational methods in decision-making, economics and finance. - Drodrecht [u.a.] : Kluwer Academic Pub, ISBN 978-1-4419-5230-1. - 2010, p. 167-183
|
Subject: | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Heuristik | Heuristics | Risikomaß | Risk measure |
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