Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach

DOI10.1016/J.COR.2016.01.014MaRDI QIDQ342374zbMATH OpenOpenAlexFDO

Authors Vladimir Ranković, Mikica Drenovak, Branko Urosevic, Ranko Jelic

Publication date 17 November 2016

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.cor.2016.01.014

zbMATH Keywords

GARCHvalue at riskportfolio optimizationNSGA-IIactual portfolios

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
• Portfolio selection under VaR constraints
• Value-at-risk based portfolio optimization
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Mean-VaR portfolio optimization: a nonparametric approach

Cites work

• A portfolio optimization model with three objectives and discrete variables
• Applications of Multi-Objective Evolutionary Algorithms
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Coherent measures of risk
• Elements of financial risk management.
• Evolutionary Algorithms for Solving Multi-Objective Problems
• Financial risk modelling and portfolio optimization with R
• Generalized autoregressive conditional heteroscedasticity
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
• Mean-VaR portfolio selection under real constraints
• Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• Search Methodologies
• VaR optimal portfolio with transaction costs

Cited in

(7)

• A risk index model for uncertain portfolio selection with background risk
• 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

Describes a project that uses

Uses Software

• rmgarch
• rneos
• gogarch
• cccp
• Rugarch
• urca
• vars
• R

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