Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm
Eva Alfaro-Cid; J. Samuel Baixouli-Soler; Matildo O. Fernandez-Blanco
| Year of publication: |
2011
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|---|---|
| Authors: | Alfaro-Cid, Eva ; Baixouli-Soler, J. Samuel ; Fernandez-Blanco, Matildo O. |
| Published in: |
International journal of risk assessment and management : IJRAM. - Olney, Bucks : Inderscience Enterprises, ISSN 1466-8297, ZDB-ID 2059387-9. - Vol. 15.2011, 5/6, p. 453-477
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| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Evolutionärer Algorithmus | Evolutionary algorithm | Schätzung | Estimation | USA | United States | Kanada | Canada | Japan | Großbritannien | United Kingdom | Frankreich | France | Deutschland | Germany | Spanien | Spain | Niederlande | Netherlands | Schweden | Sweden | 1990-2007 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009487198