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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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dc.contributor.author Baixauli-Soler, J. Samuel es_ES
dc.contributor.author Alfaro-Cid, Eva es_ES
dc.contributor.author Fernández-Blanco, Matilde O. es_ES
dc.date.accessioned 2014-03-10T09:47:05Z
dc.date.issued 2011-02
dc.identifier.issn 0927-7099
dc.identifier.uri http://hdl.handle.net/10251/36309
dc.description.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 solvable, we introduce real constraints, such as minimum transaction units and non-linear cost structure and, finally, we avoid the use of smoothing techniques. The approach we propose is based on multiobjective genetic algorithms. The results presented show the adequacy of the method for the portfolio optimization problem and emphasize the importance of dealing with real constraints during the optimization process. es_ES
dc.description.sponsorship Financial support under project ECO 2008-02846 is also acknowledged.
dc.format.extent 19 es_ES
dc.language Inglés es_ES
dc.publisher Springer Verlag (Germany) es_ES
dc.relation MICINN/ECO/2008-02846 es_ES
dc.relation.ispartof Computational Economics es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Portfolio selection es_ES
dc.subject Heuristics es_ES
dc.subject Optimization es_ES
dc.subject Risk management es_ES
dc.subject.classification LENGUAJES Y SISTEMAS INFORMATICOS es_ES
dc.title Mean-VaR portfolio selection under real constraints es_ES
dc.type Artículo es_ES
dc.embargo.lift 10000-01-01
dc.embargo.terms forever es_ES
dc.identifier.doi 10.1007/s10614-009-9195-1
dc.rights.accessRights Cerrado es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario Mixto Tecnológico de Informática - Institut Universitari Mixt Tecnològic d'Informàtica es_ES
dc.description.bibliographicCitation 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://doi.dx.org/10.1007/s10614-009-9195-1 es_ES
dc.description.upvformatpinicio 113 es_ES
dc.description.upvformatpfin 131 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 37 es_ES
dc.description.issue 2 es_ES
dc.relation.senia 211109
dc.contributor.funder Ministerio de Ciencia e Innovación
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