Financial and risk modelling with semicontinuous covariances.
Milan StehlíkCh. HelperstorferPhilipp HermannJaroslav SupinaLuis Miguel GriloJean Paul MaidanaFelix FudersSilvia StehlíkováPublished in: Inf. Sci. (2017)
Keyphrases
- risk management
- financial risk
- portfolio optimization
- decision making
- risk analysis
- risk assessment
- credit risk
- risk evaluation
- financial crisis
- stock market
- investment decisions
- covariance matrix
- covariance matrices
- financial markets
- financial information
- minimum risk
- semi infinite
- portfolio management
- estimation algorithm
- risk averse
- perfect information
- search algorithm
- commercial banks
- financial data
- linear programming
- risk factors
- genetic algorithm