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

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

R. S. Peruchi, R. C. Leme, P. P. Balestrassi, R. R. A. Mendes, A. P. Paiva, 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

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

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• Optimal portfolio selection with liability management and Markov switching under constrained variance
• Estimating value at risk of portfolio by conditional copula-GARCH method

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