Jul 16, 2017 · Cont, Deguest, and Scandolo (2010) shows that nonparametric VaR has better robustness than CVaR, expected shortfall and Sharpe ratio.

Feb 3, 2017 · Portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade- ...

In this work, an efficient learning-guided hybrid multi-objective evolutionary algorithm (MODE-GL) is proposed to solve mean-VaR portfolio optimization problems ...

In this work, an efficient learning-guided hybrid multi-objective evolutionary algorithm (MODE-GL) is proposed to solve mean-VaR portfolio optimization problems ...

The results highlight that the proposed algorithm is able to solve the complex portfolio optimization without simplifications while obtaining good solutions in ...

This paper proposes to add the VaR criterion to the classical Mean-Variance approach in order to better address the typical regulatory constraints of the ...

Sep 20, 2016 · Portfolio optimization is concerned with the optimal allocation of limited capital to available financial assets to achieve a trade-off between ...

Downloadable (with restrictions)! Author(s): Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L.. 2017 Abstract: Portfolio optimization involves the optimal ...

Oct 30, 2024 · The authors use a nonparametric method for estimating first hitting time probabilities, and a novel approach to Markov chain order selection.

Sep 11, 2018 · First, we propose a block coordinate descent (BCD) method for solving the mean-nonparametric VaR portfolio selection problems. By exploiting the ...