Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm

  1. Alfaro-Cid, E.
  2. Baixauli-Soler, J.S.
  3. Fernandez-Blanco, M.O.
Journal:
International Journal of Risk Assessment and Management

ISSN: 1466-8297,  1741-5241

Year of publication: 2011

Volume: 15

Issue: 5-6

Pages: 453-477

Type: Article

DOI: 10.1504/IJRAM.2011.04370 GOOGLE SCHOLAR
Data source: Scopus