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

DOI10.1016/J.COR.2015.05.001MaRDI QIDQ342247zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1734442 (Why is no real title available?)
• 60 years of portfolio optimization: practical challenges and current trends
• A portfolio optimization model with three objectives and discrete variables
• An interactive desirability function method to multiresponse optimization
• Applications of entropy in finance: a review
• Diversified portfolios with different entropy measures
• Estimating value at risk of portfolio by conditional copula-GARCH method
• Generalized autoregressive conditional heteroscedasticity
• Intradaily dynamic portfolio selection
• Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
• Multi-objective mean-variance-skewness model for portfolio optimization
• Multi-objective portfolio optimization model
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Optimal portfolio selection with liability management and Markov switching under constrained variance
• The structure of dynamic correlations in multivariate stochastic volatility models

Cited in

(1)

• Portfolio investment based on a mixture of experimental designs

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