A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall

By Manfred Gilli, Evis Këllezi. 2002

72 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/ae05e2e4d8fccc8f3b45f89d7dc11777f219be0d