Portfolio optimization using Genetic algorithm incorporating Value-at-Risk

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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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Bibliographic Details
Main Author:	Sun, Fei
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/23409/

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