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Computing value-at-risk using genetic algorithm

Sharma, Bhanu; Thulasiram, Ruppa K.; Thulasiram, Parimala - In: Journal of risk finance : the convergence of financial … 16 (2015) 2, pp. 170-189

Persistent link: https://www.econbiz.de/10010514021

A generalized risk budgeting approach to portfolio construction

Haugh, Martin B.; Iyengar, Garud; Song, Irene - In: The journal of computational finance 21 (2017/2018) 2, pp. 29-60

Persistent link: https://www.econbiz.de/10011848310

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

simulation-based approach by fusing a number of macroeconomic factors using Neural Networks (NN) to build an Economic Factor …-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

Persistent link: https://www.econbiz.de/10012388728

Risk budgeting portfolios from simulations

Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056

Persistent link: https://www.econbiz.de/10014440198

Portfolio optimization through Kriging methods

Barrosa, Marcelo Rosário da; Salles, Arthur Valle; … - In: Applied economics 48 (2016) 49/51, pp. 4894-4905

Persistent link: https://www.econbiz.de/10011641047

Solving the value-at-risk minimisation model with linear programming techniques

Xu, Chunhui; Huang, Xiaolin; Huo, Yanli; Wang, Shuning - In: Asian journal of management science and applications : AJMSA 2 (2015/2016) 3, pp. 228-244

Persistent link: https://www.econbiz.de/10011713533

VaR-implied tail-correlation matrices

Mittnik, Stefan - 2013

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...

Persistent link: https://www.econbiz.de/10010191900

VaR-implied tail-correlation matrices

Mittnik, Stefan - In: Economics letters 122 (2014) 1, pp. 69-73

Persistent link: https://www.econbiz.de/10010393953

Computing near-optimal Value-at-Risk portfolios using integer programming techniques

Babat, Onur; Vera, Juan C.; Zuluaga, Luis F. - In: European journal of operational research : EJOR 266 (2018) 1, pp. 304-315

Persistent link: https://www.econbiz.de/10011811697

Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure

Hooshmand, F.; Anoushirvani, Z.; MirHassani, S. A. - In: International transactions in operational research : a … 30 (2023) 5, pp. 2665-2690

Persistent link: https://www.econbiz.de/10014261204