Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
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Publication:342374
DOI10.1016/J.COR.2016.01.014zbMATH Open1349.91322OpenAlexW2266071941MaRDI QIDQ342374FDOQ342374
Authors: Vladimir Ranković, Mikica Drenovak, Branko Urosevic, Ranko Jelic 
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.2016.01.014
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Coherent measures of risk
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Evolutionary Algorithms for Solving Multi-Objective Problems
- Search Methodologies
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Applications of Multi-Objective Evolutionary Algorithms
- Mean-VaR portfolio selection under real constraints
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- A portfolio optimization model with three objectives and discrete variables
- Elements of financial risk management.
- Financial risk modelling and portfolio optimization with R
- VaR optimal portfolio with transaction costs
Cited In (7)
- Adaptive evolutionary algorithms for portfolio selection problems
- Market risk management in a post-Basel II regulatory environment
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
- Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
- Evaluation of strategy portfolios
- A risk index model for uncertain portfolio selection with background risk
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