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https://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 |
| Licence: | info:eu-repo/semantics/openAccess |
| Appears in Collections: | 2011, №1 (сакавік) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 19 Эва Альфаро-Сид.pdf | 250,58 kB | Adobe PDF | View/Open |
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