Market risk management in a post-Basel II regulatory environment
DOI10.1016/J.EJOR.2016.08.034zbMATH Open1395.91401OpenAlexW2516512346MaRDI QIDQ1752906FDOQ1752906
Authors: Mikica Drenovak, Vladimir Ranković, Miloš Ivanović, Ranko Jelic, Branko Urosevic 
Publication date: 24 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://sro.sussex.ac.uk/id/eprint/63060/1/__smbhome.uscs.susx.ac.uk_qlfd7_Desktop_EJOR_Jelic.pdf
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Cites Work
- Computing the nearest correlation matrix--a problem from finance
- Generalized autoregressive conditional heteroscedasticity
- Search Methodologies
- Applications of Multi-Objective Evolutionary Algorithms
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- Elements of financial risk management.
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
Cited In (4)
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