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Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching

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random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

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Socially responsible multiobjective optimal portfolios

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Portfolio optimization with GARCH-EVT-Copula-CVaR models

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A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization

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

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Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and mitigate the risk and return trade-off in...

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Cryptocurrency portfolio optimization : utilizing a GARCH-copula model within the Markowitz framework

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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

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Vine copula-based scenario tree generation approaches for portfolio optimization

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