Value-at-Risk Efficient Portfolio Selection Using Goal Programming
Year of publication: |
2008
|
---|---|
Authors: | Chen, Hsin-Hung |
Published in: |
Review of Pacific Basin Financial Markets and Policies (RPBFMP). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6705. - Vol. 11.2008, 02, p. 187-200
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Efficient frontier | portfolio selection | polynomial goal programming | Value-at-Risk (VaR) |
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