Mean-VaR portfolio optimization : a nonparametric approach
Year of publication: |
16 July 2017
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Authors: | Lwin, Khin T. ; Qu, Rong ; MacCarthy, Bart |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 260.2017, 2 (16.7.), p. 751-766
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Subject: | Evolutionary computations | Multi-objective constrained portfolio optimization | Value at risk | Nonparametric historical simulation | Entwicklungstheorie | Development theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Simulation |
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