Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach.
Vladimir RankovicMikica DrenovakBranko UrosevicRanko JelicPublished in: Comput. Oper. Res. (2016)
Keyphrases
- portfolio optimization
- robust optimization
- risk measures
- stock market
- portfolio management
- portfolio selection
- stock price
- risk management
- garch model
- problems involving
- factor analysis
- mathematical programming
- bi objective
- exchange rate
- stock exchange
- optimization methods
- sharpe ratio
- non stationary
- financial markets
- clustering algorithm