Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs

DOI10.1016/J.COR.2015.05.001zbMATH Open1349.91254OpenAlexW324794908MaRDI QIDQ342247FDOQ342247

Authors: R. R. A. Mendes, A. P. Paiva, R. S. Peruchi, P. P. Balestrassi, R. C. Leme, M. B. Silva 

Publication date: 17 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2015.05.001

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zbMATH Keywords

entropyARMA-GARCH modelsmixture design of experimentsmultiobjective portfolio optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Economic time series analysis (91B84) Portfolio theory (91G10)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Diversified portfolios with different entropy measures
• Applications of entropy in finance: a review
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Multi-objective mean-variance-skewness model for portfolio optimization
• Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
• The structure of dynamic correlations in multivariate stochastic volatility models
• Multi-objective portfolio optimization model
• 60 years of portfolio optimization: practical challenges and current trends
• Title not available (Why is that?)
• An interactive desirability function method to multiresponse optimization
• Intradaily dynamic portfolio selection
• A portfolio optimization model with three objectives and discrete variables
• Optimal portfolio selection with liability management and Markov switching under constrained variance
• Estimating value at risk of portfolio by conditional copula-GARCH method

Cited In (1)

• Portfolio investment based on a mixture of experimental designs

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