Portfolio rebalancing with VaR as risk measure

International Journal of Innovative Computing, Information and Control

Volumn 4, Issue 9, 2008, Pages 2147-2159

  Xu, Chunhui ^a   Kijima, Kyoichi ^b   Wang, Jie ^a   Inoue, Akiya ^a  

^a CHIBA INSTITUTE OF TECHNOLOGY   (Japan)

^b TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

Integer programming; Investment; Portfolio rebalancing; Portfolio selection; Soft approach

Indexed keywords

EID: 63549149130     PISSN: 13494198     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (13)

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