Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach
Year of publication: |
January 2016
|
---|---|
Authors: | Ranković, Vladimir ; Drenovak, Mikica ; Urosevic, Branko ; Jelic, Ranko |
Publisher: |
München : CESifo, Center for Economic Studies & Ifo Institute |
Subject: | portfolio optimization | actual portfolios | value at risk | GARCH | NSGA-II | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (circa 31 Seiten) Illustrationen |
---|---|
Series: | CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. no. 5731 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/128437 [Handle] |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Mean-univariate GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir, (2016)
-
Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach
Rankovic, Vladimir, (2016)
-
Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
Bugar, Gyöngyi, (2009)
- More ...
-
Mean-univariate GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir, (2016)
-
Bond portfolio management under Solvency II regulation
Drenovak, Mikica, (2021)
-
Market risk management in a Post-Basel II regulatory environment
Urošević, Branko, (2016)
- More ...