Mean variance portfolio selection subject to value-at-risk constraints applied to real stock market data
Year of publication: |
2013
|
---|---|
Authors: | Hamza, F. ; El Kharrim, Mohamed ; El Hachloufi, Mostafa |
Published in: |
Computational techniques for banking and risk management. - New York, NY : Nova Publ., ISBN 978-1-62618-522-7. - 2013, p. 61-72
|
Subject: | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Varianzanalyse | Analysis of variance | Portfolio-Management | Portfolio selection | Marokko | Morocco | 2010 |
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