Portfolio optimization through Kriging methods
Marcelo Rosário da Barrosa, Arthur Valle Salles and Celma de Oliveira Ribeiro
| Year of publication: |
October-November 2016
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| Authors: | Barrosa, Marcelo Rosário da ; Salles, Arthur Valle ; Oliveira Ribeiro, Celma de |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 49/51, p. 4894-4905
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| Subject: | Portfolio | variance | VaR | CVaR | Kriging | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | VAR-Modell | VAR model | Varianzanalyse | Analysis of variance | Mathematische Optimierung | Mathematical programming | Monte-Carlo-Simulation | Monte Carlo simulation | Bootstrap-Verfahren | Bootstrap approach |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2016.1167827 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011641047