Portfolio risk in multiple frequencies

IEEE Signal Processing Magazine

Volumn 28, Issue 5, 2011, Pages 61-71

  Torun, Mustafa U ^a   Akansu, Ali N ^b   Avellaneda, Marco ^c  

^a DOKUZ EYLUL UNIVERSITY   (Turkey)

^b ISTANBUL TECHNICAL UNIVERSITY   (Turkey)

^c UNIVERSITY OF MINNESOTA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ELECTRICAL ENGINEERING; SIGNAL PROCESSING;

CORRELATION MATRIX; CROSS CORRELATIONS; MODERN PORTFOLIO THEORIES; MULTIPLE FREQUENCY; PORTFOLIO SELECTION; REAL-WORLD SCENARIO; RISK CALCULATION; STANDARD DEVIATION;

RISK PERCEPTION;

EID: 85032751455     PISSN: 10535888     EISSN: None     Source Type: Journal    
DOI: 10.1109/MSP.2011.941552     Document Type: Article

References (10)

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8. D. Mueller-Gritschneder, H. Graeb, and U. Schlichtmann, "A successive approach to compute the bounded Pareto front of practical multiobjective optimization problems," SIAM J. Optim., vol. 20, no. 2, pp. 915-934, 2009.
9. K. Deb, Multi-Objective Optimization Using Evolutionary Algorithms. New York: Wiley, 2001.
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