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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. doi:10.1007/s10614-009-9195-1

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/36309

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Title: Mean-VaR portfolio selection under real constraints
Author: Baixauli-Soler, J. Samuel Alfaro-Cid, Eva 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] 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 ...[+]
Subjects: Portfolio selection , Heuristics , Optimization , Risk management
Copyrigths: Cerrado
Source:
Computational Economics. (issn: 0927-7099 )
DOI: 10.1007/s10614-009-9195-1
Publisher:
Springer Verlag (Germany)
Publisher version: http://doi.dx.org/10.1007/s10614-009-9195-1
Thanks:
Financial support under project ECO 2008-02846 is also acknowledged.
Type: Artículo

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