Portfolio optimization through Kriging methods

Marcelo Rosário da Barrosa, Arthur Valle Salles and Celma de Oliveira Ribeiro

Year of publication:	October-November 2016
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
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

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