Optimization of value-at-risk portfolios in uncertain lognormal models.
Yuji YoshidaPublished in: IFSA/NAFIPS (2013)
Keyphrases
- optimization problems
- probabilistic model
- parameter estimation
- response surface
- portfolio optimization
- constrained optimization
- computational models
- statistical models
- complex systems
- optimization algorithm
- evolutionary algorithm
- decision making
- data sets
- model selection
- statistical model
- multi objective
- genetic algorithm
- optimization criteria
- machine learning