Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix (Q3524409)
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scientific article; zbMATH DE number 5323741
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| English | Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix |
scientific article; zbMATH DE number 5323741 |
Statements
9 September 2008
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portfolio optimization
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value at risk
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heuristic optimization
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memetic algorithms
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dynamic variance-covariance matrix
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0.8413492441177368
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0.8217135667800903
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0.8154574036598206
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0.8154574036598206
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0.7901617884635925
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