Mean-VaR portfolio optimization: a nonparametric approach (Q1753495)

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Mean-VaR portfolio optimization: a nonparametric approach
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    Statements

    title
    Mean-VaR portfolio optimization: a nonparametric approach (English)
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    author
    Khin T. Lwin
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    Rong Qu
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    Bart L. MacCarthy
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    publication date
    29 May 2018
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    zbMATH Keywords
    evolutionary computations
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    multi-objective constrained portfolio optimization
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    value at risk
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    nonparametric historical simulation
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    describes a project that uses
    RiskMetrics
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    SPEA2
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    JADE
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    cites work
    Q2723294
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    Q4459806
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    Identifiers

    zbMATH DE Number
    6875808
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    OpenAlex ID
    W2568732703
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