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- Title
Mean-VaR Portfolio Selection Under Real Constraints.
- Authors
Baixauli-Soler, J.; Alfaro-Cid, Eva; Fernandez-Blanco, Matilde
- Abstract
This paper is concerned with asset allocation under real constraints when VaR is the risk measure to minimize. Our paper makes a contribution in several ways, we use a risk measure that is not linear programming solvable, we introduce real constraints, such as minimum transaction units and non-linear cost structure and, finally, we avoid the use of smoothing techniques. The approach we propose is based on multi-objective genetic algorithms. The results presented show the adequacy of the method for the portfolio optimization problem and emphasize the importance of dealing with real constraints during the optimization process.
- Subjects
VALUE-added resellers; HEURISTIC algorithms; MATHEMATICAL optimization; LINEAR programming; COST structure; GENETIC algorithms; CONSTRAINT satisfaction
- Publication
Computational Economics, 2011, Vol 37, Issue 2, p113
- ISSN
0927-7099
- Publication type
Article
- DOI
10.1007/s10614-009-9195-1