Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
R.R.A. Mendes, A.P. Paiva, R.S. Peruchi, P.P. Balestrassi, R.C. Leme, M.B. Silva
| Year of publication: |
2016
|
|---|---|
| Authors: | Mendes, Ronã Rinston Amaury ; Paiva, A. P. ; Peruchi, R. S. ; Balestrassi, P. P. ; Leme, R. C. ; Silva, M. B. |
| 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. 66.2016, p. 434-444
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| Subject: | Mixture design of experiments | ARMA-GARCH models | Multiobjective portfolio optimization | Entropy | Portfolio-Management | Portfolio selection | Theorie | Theory | Experiment | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Entropie | Mathematische Optimierung | Mathematical programming | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2015.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011429147