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Please use this identifier to cite or link to this item: http://elib.bsu.by/handle/123456789/6058
Title: Value-at-risk portfolio optimization: a not on multiobgective genetic algoritnm
Authors: Alfaro-Cid, Eva
Baixauli-Soler, Samuel
Fernandez-Blanko, Matilde
Keywords: ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Экономика и экономические науки
Issue Date: 28-Mar-2012
Abstract: n this paper we develop a general framework for market risk optimization. The model is valid for any given risk measure. Our em- pirical procedure is focused on VaR. We solve the problem using a multiobjective genetic algorithm (GA). The algorithm is very efficient and it can handle hundreds of assets in reasonable computer time. One of the advantages of this approach is that it is easily extendable. = Рассматривается дальнейшее развитие общего подхода оптимизации риска в условиях рынка. Предлагается модель, ориентированная на различные меры риска, и эмпирическая методика расчета на основе многоцелевого генетического алгоритма.
URI: http://elib.bsu.by/handle/123456789/6058
ISSN: 0321-0359
Appears in Collections:2011, №1 (сакавік)

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