Estimating allocations for value-at-risk portfolio optimization
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Publication:1028529
DOI10.1007/S00186-008-0244-7zbMATH Open1169.90418OpenAlexW1986072275MaRDI QIDQ1028529FDOQ1028529
Authors: Arthur Charpentier, Abder Oulidi 
Publication date: 6 July 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-008-0244-7
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Cited In (16)
- Portfolio selection based on a nonlinear neural network: An application on the Istanbul Stock Exchange (ISE30)
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- Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
- In search of robust methods for multi-currency portfolio construction by value at risk
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- A new bi-objective fuzzy portfolio selection model and its solution through evolutionary algorithms
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Forecasting compositional risk allocations
- Mean-risk model for uncertain portfolio selection with background risk and realistic constraints
- Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
- Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Estimating probabilities relevant to calculating relative risk-corrected returns of alternative portfolios
- Distribution assumptions and risk constraints in portfolio optimization
- Backtesting portfolio value‐at‐risk with estimated portfolio weights
- Mean-VaR portfolio optimization: a nonparametric approach
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