Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
From MaRDI portal
Publication:3524409
zbMATH Open1142.91567MaRDI QIDQ3524409FDOQ3524409
Authors: Katja Specht, Peter Winker 
Publication date: 9 September 2008
Recommendations
value at riskportfolio optimizationheuristic optimizationmemetic algorithmsdynamic variance-covariance matrix
Cited In (17)
- A new procedure for resampled portfolio with shrinkaged covariance matrix
- Intradaily dynamic portfolio selection
- The benefits of differential variance-based constraints in portfolio optimization
- Proper Conditioning for Coherent VaR in Portfolio Management
- Portfolio selection with conditional covariance matrix and nonlinear programming
- Title not available (Why is that?)
- Portfolio selection under VaR constraints
- Estimating allocations for value-at-risk portfolio optimization
- Value-at-risk based portfolio optimization
- Portfolio optimization by using MeanSharp-βVaR and Multi Objective MeanSharp-βVaR models
- Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
- Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
- Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Improving portfolios global performance using a cleaned and robust covariance matrix estimate
This page was built for publication: Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3524409)
