Portfolio value-at-risk optimization for asymmetrically distributed asset returns.
Joel Weiqiang GohKian Guan LimMelvyn SimWeina ZhangPublished in: Eur. J. Oper. Res. (2012)
Keyphrases
- sharpe ratio
- portfolio optimization
- portfolio management
- portfolio theory
- asset allocation
- portfolio selection
- distributed systems
- decision making
- robust optimization
- optimization algorithm
- distributed environment
- risk management
- optimization methods
- risk measures
- global optimization
- lightweight
- peer to peer
- high risk
- autonomy oriented computing
- computing environments
- optimization problems
- cooperative
- optimal portfolio
- transaction costs
- optimization process
- trading strategies
- distributed data
- fault tolerant
- multi agent
- data sets
- bi objective
- database
- risk minimization
- distributed network
- risk averse
- investment strategies
- optimization method
- mobile agents
- particle swarm optimization