Estimating allocations for Value-at-Risk portfolio optimization.

Arthur Charpentier Abder Oulidi

Published in: Math. Methods Oper. Res. (2009)

Keyphrases

portfolio optimization
portfolio management
portfolio selection
risk management
problems involving
risk measures
robust optimization
factor analysis
stock market
bi objective
investment decisions
optimization methods
stock exchange
stock price
resource allocation
multi objective
sharpe ratio
statistical analysis