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Minimization of Value at Risk of Financial Assets Portfolio using Genetic Algorithms and Neural Networks

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  • El Hachloufi Mostafa
  • El Haddad Mohammed
  • El Attar Abderrahim

Abstract

In this paper we have proposed an approach for minimization of a shares portfolio invested in a market which the fluctuations follow a normal distribution based in amathematical explicit formulae for calculating Value at Risk (VaR) for portfolios of linear financial assets invested using the Black-Scholes stochastic process and assuming that the portfolio structure remains constant over the considered time horizon. We minimize this Value at Risk using neural networks and genetic algorithms.

Suggested Citation

  • El Hachloufi Mostafa & El Haddad Mohammed & El Attar Abderrahim, 2016. "Minimization of Value at Risk of Financial Assets Portfolio using Genetic Algorithms and Neural Networks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(2), pages 1-3.
    • Handle: RePEc:spt:apfiba:v:6:y:2016:i:2:f:6_2_3
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