Portfolio value-at-risk forecasting with GA-based extreme value theory.
Ping-Chen LinPo-Chang KoPublished in: Expert Syst. Appl. (2009)
Keyphrases
- extreme value theory
- investment decisions
- portfolio optimization
- portfolio management
- early warning
- high risk
- decision making
- efficient frontier
- portfolio theory
- portfolio selection
- genetic algorithm
- short term
- risk management
- genetic algorithm ga
- key factors
- var model
- market data
- risk assessment
- medium term
- risk measures
- neural network
- grey model
- optimal portfolio
- transaction costs
- sharpe ratio
- exchange rate
- risk factors
- asset allocation
- data sets
- foreign exchange
- investment strategies
- risk averse
- design procedure
- stock market
- financial data
- data envelopment analysis