Open AccessFinding optimal portfolio based on genetic algorithm with generalized Pareto distribution
Author(s) -
Hyundon Kim,
Hyun Tae Kim
Publication year - 2015
Publication title -
journal of the korean data and information science society
Language(s) - English
Resource type - Journals
ISSN - 1598-9402
DOI - 10.7465/jkdi.2015.26.6.1479
Subject(s) - portfolio optimization , portfolio , econometrics , generalized pareto distribution , pareto principle , value at risk , post modern portfolio theory , mathematical optimization , modern portfolio theory , computer science , extreme value theory , economics , mathematics , replicating portfolio , statistics , financial economics , risk management , finance