The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem

Todor Stoilov; Krasimira Stoilova; Miroslav Vladimirov
Други: Мирослав Владимиров (#*)

Детайли

Източник: Cybernetics and Information Technologies
Издателство: Inst. of Inform. a. Communication Technologies.BAS
Местоиздаване: Sofia
Година на издаване: 2021
Страници: pp. 19-31
Том: 21
Ключови думи: portfolio optimization, approximation of probabilistic constraint

ISBN: ISSN 1311-9702 (print) ; 1314-4081 (online)
Пор.№: 1
Забележка: DOI: 10.2478/cait-2021-0002
Website: https://sciendo.com/de/article/10.2478/cait-2021-0002 ; https://www.scopus.com/record/display.uri?eid=2-s2.0-85104391690&origin=resultslist

Действия

MLA (7th edition) Chicago / Turabian (16th edition) Harvard

Stoilov, Todor Atanasov, Stoilova, Krasimira Petrova, Vladimirov, Miroslav Dimitrov The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem, Inst. of Inform. a. Communication Technologies.BAS, 2021, pp. 19-31, ISSN 1311-9702 (print) ; 1314-4081 (online).

Stoilov, Todor Atanasov, Stoilova, Krasimira Petrova, Vladimirov, Miroslav Dimitrov . The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem. Sofia: Inst. of Inform. a. Communication Technologies.BAS, 2021, pp. 19-31, ISSN 1311-9702 (print) ; 1314-4081 (online).

Stoilov, Todor Atanasov, Stoilova, Krasimira Petrova, Vladimirov, Miroslav Dimitrov (2021) The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem, Sofia: Inst. of Inform. a. Communication Technologies.BAS, pp. 19-31, ISSN 1311-9702 (print) ; 1314-4081 (online)

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The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem

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