Mean-VaR portfolio selection under real constraints

DOI10.1007/s10614-009-9195-1zbMath1206.91075MaRDI QIDQ625636

Eva Alfaro-Cid, Matilde O. Fernandez-Blanco, J. Samuel Baixauli-Soler

Publication date: 25 February 2011

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9195-1

zbMATH Keywords

optimization; heuristics; portfolio selection; risk management

Mathematics Subject Classification ID

90C29: Multi-objective and goal programming

90C59: Approximation methods and heuristics in mathematical programming

91G10: Portfolio theory

Related Items

Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs, Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach, Mean-VaR portfolio optimization: a nonparametric approach, A multi-period fuzzy portfolio optimization model with minimum transaction lots

Uses Software

• SPEA2

Cites Work

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• Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints