Incorporating Value-at-Risk in Portfolio Selection: An Evolutionary Approach.

Chueh-Yung Tsao Chao-Kung Liu

Published in: JCIS (2006)

Keyphrases

portfolio selection
portfolio optimization
portfolio management
risk measures
optimal portfolio
multistage stochastic
financial markets
risk management
robust optimization
investment decisions
multiple objectives
transaction costs
neural network
multi objective