Portfolio optimization using Genetic algorithm incorporating Value-at-Risk
In the traditional mean-variance portfolio optimization model, variance is as a risk measure based on the assumption of normal distribution on asset returns. However, most of empirical returns on assets are not normally distributed. The fat tails and skewness appear in the distribution of asset retu...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/23409/ |