A heuristic approach for value at risk based portfolio optimization
作者： Mohammad Zeiaee , Mohammad Reza Jahed-Motlagh
DOI: 10.1109/CSICC.2009.5349659
关键词:
摘要: Portfolio optimization under classic mean-variance framework of Markowitz must be revised as variance fails to be a good risk measure. This is especially true when the asset returns …
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