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Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm

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Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm

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Alfaro Cid, E.; Baixauli-Soler, JS.; Fernández-Blanco, MO. (2011). Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm. International Journal of Risk Assessment and Management. 15(5/6):453-477. doi:10.1504/IJRAM.2011.043701

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/34048

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Title: Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm
Author: Alfaro Cid, Eva Baixauli-Soler, J. Samuel Fernández-Blanco, Matilde O.
UPV Unit: Universitat Politècnica de València. Instituto Universitario Mixto Tecnológico de Informática - Institut Universitari Mixt Tecnològic d'Informàtica
Issued date:
Abstract:
[EN] In this paper, we develop a general framework for market risk optimisation that focuses on VaR. The reason for this choice is the complexity and problems associated with risk return optimisation (non-convex and ...[+]
Subjects: Artificial intelligence , Investment criteria , Portfolio selection , Genetic algorithm , GA , Value-at-risk , VAR , Market risk
Copyrigths: Cerrado
Source:
International Journal of Risk Assessment and Management. (issn: 1466-8297 )
DOI: 10.1504/IJRAM.2011.043701
Publisher:
Inderscience
Publisher version: http://www.inderscience.com/info/inarticle.php?artid=43701
Project ID:
MEC/ECO 2008-02846
Thanks:
The authors would like to thank the two anonymous referees for their helpful advices. The authors thank Fundacion Cajamurcia and the Spanish Government (Project ECO 2008-02846) for financial support.
Type: Artículo

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