Mean-VaR Portfolio Selection Under Real Constraints
No abstract is available for this item.
Volume (Year): 37 (2011)
Issue (Month): 2 (February)
|Contact details of provider:|| Web page: http://www.springerlink.com/link.asp?id=100248|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- M. Gilli & E. Kellezi & H. Hysi, 2006.
"A Data-Driven Optimization Heuristic for Downside Risk Minimization,"
Computing in Economics and Finance 2006
355, Society for Computational Economics.
- Manfred Gilli & Evis Këllezi & Hilda Hysi, . "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Swiss Finance Institute Research Paper Series 06-02, Swiss Finance Institute.
- Baixauli, J. Samuel & Alvarez, Susana, 2004. "Analysis of the conditional stock-return distribution under incomplete specification," European Journal of Operational Research, Elsevier, vol. 155(2), pages 276-283, June.
- Xiaolou Yang, 2006. "Improving Portfolio Efficiency: A Genetic Algorithm Approach," Computational Economics, Society for Computational Economics, vol. 28(1), pages 1-14, August.
- Lin, Chang-Chun & Liu, Yi-Ting, 2008. "Genetic algorithms for portfolio selection problems with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 185(1), pages 393-404, February.
- Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November.
- Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
- Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:37:y:2011:i:2:p:113-131. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.