Portfolio selection based on the mean-VaR efficient frontier
Year of publication: |
2010
|
---|---|
Authors: | Tsao, Chueh-Yung |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 8, p. 931-945
|
Publisher: |
Taylor & Francis Journals |
Subject: | Efficient frontiers | Value at Risk | Genetic algorithms | Portfolio selection | NSGA-II |
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