Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (Q342374)
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scientific article; zbMATH DE number 6654173
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| English | Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach |
scientific article; zbMATH DE number 6654173 |
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Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach (English)
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17 November 2016
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portfolio optimization
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actual portfolios
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value at risk
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GARCH
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NSGA-II
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0.7810580134391785
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0.7697657942771912
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0.7679724097251892
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0.7679724097251892
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0.7660903334617615
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