Discrete time portfolio optimisation managing value at risk under heavy tail return distribution.
Subhojit BiswasDiganta MukherjeePublished in: Int. J. Math. Model. Numer. Optimisation (2020)
Keyphrases
- stationary distribution
- markov chain
- sharpe ratio
- investment strategies
- portfolio management
- portfolio optimization
- decision making
- markov processes
- power law
- portfolio selection
- high risk
- risk factors
- risk assessment
- risk averse
- risk management
- var model
- risk analysis
- heavy tailed
- spatial distribution
- minimum risk
- optimal portfolio
- extreme value theory
- genetic algorithm