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Mean-VaR portfolio selection under real constraints

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Mean-VaR portfolio selection under real constraints

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Baixauli-Soler, JS.; Alfaro-Cid, E.; Fernández-Blanco, MO. (2011). Mean-VaR portfolio selection under real constraints. Computational Economics. 37(2):113-131. https://doi.org/10.1007/s10614-009-9195-1

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Título: Mean-VaR portfolio selection under real constraints
Autor: Baixauli-Soler, J. Samuel Alfaro-Cid, Eva Fernández-Blanco, Matilde O.
Entidad UPV: Universitat Politècnica de València. Instituto Universitario Mixto Tecnológico de Informática - Institut Universitari Mixt Tecnològic d'Informàtica
Fecha difusión:
Resumen:
[EN] This paper is concerned with asset allocation under real constraints when VaR is the risk measure to minimize. Our paper makes a contribution in several ways, we use a risk measure that is not linear programming ...[+]
Palabras clave: Portfolio selection , Heuristics , Optimization , Risk management
Derechos de uso: Cerrado
Fuente:
Computational Economics. (issn: 0927-7099 )
DOI: 10.1007/s10614-009-9195-1
Editorial:
Springer Verlag (Germany)
Versión del editor: http://doi.dx.org/10.1007/s10614-009-9195-1
Código del Proyecto:
info:eu-repo/grantAgreement/MICINN//ECO2008-02846/ES/NUEVAS TECNICAS PARA LA GESTION DEL RIESGO DE MERCADO Y DE CREDITO/
Agradecimientos:
Financial support under project ECO 2008-02846 is also acknowledged.
Tipo: Artículo

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