A global optimization heuristic for portfolio choice with VaR and expected shortfall
Manfred Gilli; Evis Ke͏̈llezi
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009153089