The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem
Authors
Todor Stoilov
Institute of Information and Communication Technologies, Bulgarian Academy of Sciences, Sofia, Bulgaria
Krasimira Stoilova
Institute of Information and Communication Technologies, Bulgarian Academy of Sciences, Sofia, Bulgaria
Language: English
Page range: 19 - 31
Submitted on: Dec 21, 2020
Accepted on: Feb 19, 2021
Published on: Mar 30, 2021
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
Related subjects:
© 2021 Todor Stoilov, Krasimira Stoilova, Miroslav Vladimirov, published by Bulgarian Academy of Sciences, Institute of Information and Communication Technologies
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.