Baixauli-Soler, J. Samuel; Alfaro Cid, Eva; Fernandez-Blanco, Matilde O.(Elsevier, 2012)
Genetic algorithms (GAs) are appropriate when investors have the objective of obtaining mean-variance
(VaR) efficient frontier as minimising VaR leads to non-convex and non-differential risk-return optimisation
problems. ...
[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 ...
Alfaro Cid, Eva; Baixauli-Soler, J. Samuel; Fernández-Blanco, Matilde O.(Inderscience, 2011)
[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 ...