Mean-VaR portfolio optimization: a nonparametric approach
From MaRDI portal
Publication:1753495
DOI10.1016/j.ejor.2017.01.005zbMath1403.91317OpenAlexW2568732703MaRDI QIDQ1753495
Khin T. Lwin, Bart L. MacCarthy, Rong Qu
Publication date: 29 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arro.anglia.ac.uk/id/eprint/702128/1/Lwin_2017_a.pdf
evolutionary computationsvalue at riskmulti-objective constrained portfolio optimizationnonparametric historical simulation
Related Items
Mixed value-at-risk and its numerical investigation ⋮ Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis ⋮ Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors ⋮ A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances ⋮ Mean-variance-VaR portfolios: MIQP formulation and performance analysis ⋮ Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure ⋮ An analysis of dollar cost averaging and market timing investment strategies ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Adaptive evolutionary algorithms for portfolio selection problems ⋮ Optimal construction and rebalancing of index-tracking portfolios ⋮ Distributionally robust multi-period portfolio selection subject to bankruptcy constraints ⋮ Empirical tail risk management with model-based annealing random search ⋮ Reconciling mean-variance portfolio theory with non-Gaussian returns ⋮ Estimating value-at-risk and expected shortfall using the intraday low and range data ⋮ Copula based multivariate semi-Markov models with applications in high-frequency finance ⋮ Gray wolf optimization algorithm for multi-constraints second-order stochastic dominance portfolio optimization ⋮ An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem ⋮ Copula-based Black-Litterman portfolio optimization
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Hierarchical differential evolution for minimal cut sets identification: application to nuclear safety systems
- Ranking of investment funds: acceptability versus robustness
- A survey of repair methods used as constraint handling techniques in evolutionary algorithms
- Mean-VaR portfolio selection under real constraints
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
- Estimating allocations for value-at-risk portfolio optimization
- Theoretical and numerical constraint-handling techniques used with evolutionary algorithms: A survey of the state-of-the-art
- Heuristics for cardinality constrained portfolio optimization
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Conditional value at risk and related linear programming models for portfolio optimization
- 60 years of portfolio optimization: practical challenges and current trends
- Coherent Measures of Risk
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Robustness and sensitivity analysis of risk measurement procedures
- A difference of convex formulation of value-at-risk constrained optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Empirical properties of asset returns: stylized facts and statistical issues
- Portfolio Analysis in a Stable Paretian Market
- Evolutionary Multi-Criterion Optimization
- Evolutionary Multi-Criterion Optimization
- Safety First and the Holding of Assets
