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Mean-VaR Portfolio Selection Under Real Constraints · Study

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ArticleMean-VaR Portfolio Selection Under Real Constraints

J. Samuel Baixauli‐Soler2010

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Articlegreen2010

Mean-VaR Portfolio Selection Under Real Constraints

J. Samuel Baixauli‐Soler · Eva Alfaro-Cid · Matilde O. Fernández-Blanco

31 citations·0/0 files stored·Computational Economics

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Risk and Portfolio Optimization Metaheuristic Optimization Algorithms Research Financial Risk and Volatility Modeling

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References

2000Optimization of conditional value-at-risk 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 2005Value-at-risk in portfolio optimization: properties and computational approach 2001Optimal portfolio selection in a Value-at-Risk framework 1999Heuristic algorithms for the portfolio selection problem with minimum transaction lots 2007Genetic algorithms for portfolio selection problems with minimum transaction lots 1977Portfolio choice and equilibrium in capital markets with safety-first investors 2001Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

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Year2010

Typearticle

Published2010-01-09

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations31

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10614-009-9195-1

openalex_workW1998618328

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