Portfolio selection of uncertain random returns based on value at risk
Yajuan Liu, Hamed Ahmadzade, Mehran Farahikia
Topics & Concepts
Value at riskRandomnessPortfolioRandom variableMonte Carlo methodEconometricsPortfolio optimizationProbability distributionExpected valueExpected shortfallSelection (genetic algorithm)Mathematical optimizationExtreme value theoryRisk measureMathematicsComputer scienceStatisticsRisk managementEconomicsFinanceArtificial intelligenceFuzzy Systems and OptimizationRisk and Portfolio OptimizationMulti-Criteria Decision Making