Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix (Q3524409)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 5323741
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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
0 references
portfolio optimization
0 references
value at risk
0 references
heuristic optimization
0 references
memetic algorithms
0 references
dynamic variance-covariance matrix
0 references
0.8413492441177368
0 references
0.8217135667800903
0 references
0.8154574036598206
0 references
0.8154574036598206
0 references
0.7901617884635925
0 references
