Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Rihab Bedoui, Ramzi Benkraiem, Khaled Guesmi, Islem Kedidi
| Year of publication: |
2023
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|---|---|
| Authors: | Bedoui, Rihab ; Benkraiem, Ramzi ; Guesmi, Khaled ; Kedidi, Islem |
| Published in: |
Technological forecasting & social change : an international journal. - Amsterdam : Elsevier, ISSN 0040-1625, ZDB-ID 280700-2. - Vol. 197.2023, p. 1-13
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| Subject: | CVaR | EVT | GARCH | NSGA-II deep machine learning genetic algorithm | Portfolio optimization decision | Vine copula | Portfolio-Management | Portfolio selection | Evolutionärer Algorithmus | Evolutionary algorithm | Künstliche Intelligenz | Artificial intelligence | Mathematische Optimierung | Mathematical programming | Lernprozess | Learning process | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Algorithmus | Algorithm | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.techfore.2023.122887 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014468847