Mean-univariate GARCH VaR portfolio optimization : actual portfolio approach
Vladimir Ranković, Mikica Drenovak, Branko Urosevic, Ranko Jelic
| Year of publication: |
August 2016
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| Authors: | Ranković, Vladimir ; Drenovak, Mikica ; Urosevic, Branko ; Jelic, Ranko |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 72.2016, p. 83-92
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| Subject: | Portfolio optimization | Actual portfolios | Value at Risk | GARCH | NSGA-II | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2016.01.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011488146