The mean-Value at Risk static portfolio optimization using genetic algorithm

Computer Science and Information Systems

Volumn 11, Issue 1, 2014, Pages 89-109

  Ranković, Vladimir ^a   Drenovak, Mikica ^a   Stojanović, Boban ^a   Kalinić, Zoran ^a   Arsovski, Zora ^a  

^a UNIVERSITY OF KRAGUJEVAC   (Serbia)

Author keywords

Genetic algorithm; Mean VaR efficient frontier; Static portfolio optimization; Value at Risk

Indexed keywords

EID: 84893355862     PISSN: 18200214     EISSN: None     Source Type: Journal    
DOI: 10.2298/CSIS121024017R     Document Type: Article

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