Mean-VaR portfolio optimization : a nonparametric approach
Khin T. Lwin, Rong Qu, Bart L. MacCarthy
| 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 | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Simulation | Mathematische Optimierung | Mathematical programming | Evolutionärer Algorithmus | Evolutionary algorithm | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011699174