مشاهده مشخصات مقاله
A Heuristic Approach for Value at Risk Based Portfolio Optimization
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نویسنده (ها) |
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Mohammad Zeiaee
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Mohammad Reza Jahed-Motlagh
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مربوط به کنفرانس |
چهاردهمین کنفرانس بینالمللی سالانه انجمن کامپیوتر ایران |
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چکیده |
Portfolio optimization under classic mean-variance
framework of Markowitz must be revised as variance
fails to be a good risk measure. This is especially true
when the asset returns are not normal. In this paper,
we utilize Value at Risk (VaR) as the risk measure and
Historical Simulation (HS) is used to obtain an
acceptable estimate of the VaR. Also, a well known
multi-objective evolutionary approach is used to
address the inherent bi-objective problem; In fact,
NSGA-II is incorporated here. This method is tested on
a set of past return data of 12 assets on Tehran Stock
Exchange (TSE). A comparison of the obtained results,
shows that the proposed method offers high quality
solutions and a wide range of risk return trade-offs. |
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قیمت |
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برای اعضای سایت : ۱٠٠,٠٠٠ ریال
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برای دانشجویان عضو انجمن : ۲٠,٠٠٠ ریال
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برای اعضای عادی انجمن : ۴٠,٠٠٠ ریال
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خرید مقاله
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