Mean-VaR portfolio optimization: a nonparametric approach

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Mean-VaR portfolio optimization: a nonparametric approach

Portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk. We consider an alternative Markowitz's mean-variance model, in which the variance is replaced with an industry standard ri...

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Bibliographic Details
Main Authors:	Lwin, Khin T., Qu, Rong, MacCarthy, Bart L.
Format:	Article
Published:	Elsevier 2017
Subjects:	Evolutionary computations Multi-objective Constrained Portfolio Optimization Value at Risk Nonparametric Historical Simulation
Online Access:	https://eprints.nottingham.ac.uk/39884/

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