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Relationship between portfolio diversification and value at risk: Empirical evidence

✍ Scribed by Khurshid M. Kiani


Book ID
116445711
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
428 KB
Volume
12
Category
Article
ISSN
1566-0141

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Portfolio management using value at risk
✍ V. A. F. Dallagnol; J. van den Berg; L. Mous πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 522 KB

In this paper, it is shown a comparison of the application of particle swarm optimization and genetic algorithms to portfolio management, in a constrained portfolio optimization problem where no short sales are allowed. The objective function to be minimized is the value at risk calculated using his