A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost (Q2315847)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost |
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A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost (English)
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26 July 2019
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multi-period constrained portfolio optimization
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value at risk
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extreme value theory
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NSGA-II
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