References
- 1. C h e n, J. M. On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. – J. Risks, Vol. 6, 2018, No 61. DOI:10.3390/risks6020061.10.3390/risks6020061
- 2. D o w d, K. Measuring Market Risk. Second Ed. John Wiley & Sons, Inc., 2005. 390 p. ISBN 13 978-0-470-01303-8, (cloth: alk. paper) ISBN 10 0-470-01303-6 (cloth: alk. paper). https://www.academia.edu/28033721/Measuring_Market_Risk_Second_Edition
- 3. E n g l e, R. F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. – J. Econometrica, Vol. 50, 1982, No 4, pp. 987-1007. DOI:10.2307/1912773F. http://www.econ.uiuc.edu/~econ536/Papers/engle82.pdf.10.2307/1912773
- 4. G a n d o m i, A., M. H a i d e r. Beyond the Hype: Big Data Concepts, Methods, and Analytics. – International Journal of Information Management, Vol. 35, 2015, pp. 137-144. https://dl.acm.org/doi/10.1016/j.ijinfomgt.2014.10.00710.1016/j.ijinfomgt.2014.10.007
- 5. G e o r g i e v a, P. V., I. P. P o p c h e v, S. N. S t o y a n o v. A Multi-Step Procedure for Asset Allocation in Case of Limited Resources. – Cybernetics and Information Technologies, Vol. 15, 2015, No 3, pp. 41-50. DOI: https://doi.org/10.1515/cait-2015-0040.10.1515/cait-2015-0040
- 6. I v a n o v a, Z., K. S t o i l o v a, T. S t o I i o v. Portfolio Optimization – Internet Information Service. Academician Publisher “Marin Drinov”, Sofia, 2005. 275 p. ISBN 954-322-021-2.
- 7. J a n a b i, M. A. Theoretical and Practical Foundations of Liquidity-Adjusted Value-at-Risk: Optimization Algorithms for Portfolio Selection and Management, in Expert Systems in Finance. N. Metawa, Ed. Taylor Francis Group, 2019, pp. 1-31. ISBN: 978-0-367-10952-3.10.4324/9780429024061-1
- 8. K u e s t e r, K., S. M i t t n i k, M. S. P a o l e l l a. Value-at-Risk Prediction: A Comparison of Alternative Strategies. – Journal of Financial Econometrics, Vol. 4, 2006, Issue 1, pp. 53-89. https://doi.org/10.1093/jjfinec/nbj002 https://pdfs.semanticscholar.org/d5c1/05ffa2508f63a0c1f2123b77189a35e5dcab.pdf
- 9. K o l m, P. N., R. T u t u n c u, F. J. F a b o z z i. 60 Years of Portfolio Optimization: Practical Challenges and Current Trends. – European Journal of Operational Research, Vol. 234, 2014, pp. 356-371. https://www.sciencedirect.com/science/article/abs/pii/S037722171300889810.1016/j.ejor.2013.10.060
- 10. L i u, C., H. S h i, L. W u, M. G u o. The Short-Term and Long-Term Trade-off between Risk and Return: Chaos vs Rationality. – Journal of Business Economics and Management, Vol. 21, 2020, No 1, pp. 23-43. https://doi.org/10.3846/jbem.2019.1134910.3846/jbem.2019.11349
- 11. M a l z, A. M. Financial Risk Management: Models, History, and Institution : Models, History, and Institution. John Wiley & Sons, Inc., 2011. 722 p. Print ISBN 978-0-470-48180-6; Online ISBN 978-1-118-02291-7. https://www.academia.edu/32063233/Financial_Risk_Management_by_Allan_M_Malz_pdf
- 12. M a r k o w i t z, H., Portfolio Selection. – J. of Finance, Vol. 7, 1952, No 1, pp. 77-91. https://www.math.ust.hk/~maykwok/courses/ma362/07F/markowitz_JF.pdf10.1111/j.1540-6261.1952.tb01525.x
- 13. P o p c h e v, I., I. R a d e v a. A Decision Support Method for Investment Preference Evaluation. – Cybernetics and Information Technologies, Vol. 6, 2006, No 1, pp. 3-16.
- 14. R a n k o v i ć, V., M. D r e n o v a, B. U r o s e v i c, R. J e l i c. Mean-Uninvariante GARCH VaR Portfolio Optimization: Actual Portfolio Approach. – J. Computers & Operations Research, Vol. 72, August 2016, pp. 83-92. https://doi.org/10.1016/j.cor.2016.01.01410.1016/j.cor.2016.01.014
- 15. R u t k a u s k a s, A. V., V. S t a s y t y t ė. Stochastic Informative Expert System for Investment. – Journal of Business Economics and Management, Vol. 21, 2020, No 1, pp. 136-156. https://doi.org/10.3846/jbem.2020.1176810.3846/jbem.2020.11768
- 16. S h a r p e, W. Portfolio Theory and Capital Markets. New York, McGraw Hill, 1999. 316 p.
- 17. S t o i l o v, T., K. S t o i l o v a, M. V l a d i m i r o v. Analytical Overview and Applications of Modified Black-Litterman Model for Portfolio Optimization. – Cybernetics and Information Technologies, Vol. 20, 2020, No 2, pp. 30-49. Print ISSN: 1311-9702, Online ISSN: 1314-4081, DOI: 10.2478/cait-2020-0014. http://www.cit.iit.bas.bg/CIT-2020/v-20-2/10341-Volume20_Issue_2-03_paper.pdf10.2478/cait-2020-0014
- 18. S t o i l o v, T., K. S t o i l o v a, M. V l a d i m i r o v. Modeling and Assessment of Financial Investments by Portfolio Optimization on Stock Exchange. – In: I. Dimov, S. Fidanova, Eds. Advances in High Performance Computing, Studies in Computational Intelligence, Vol. SCI 902. Springer, 2020, pp. 340-356. ISBN 978-3-030-55346-3, ISSN:1860-949x, E-ISSN:1860-9503, DOI: https://doi.org/10.1007/978-3-030-55347-0_29.10.1007/978-3-030-55347-0_29
- 19. S t o i l o v, T., K. S t o i l o v a, M. V l a d i m i r o v. Saving Time in Portfolio Optimization on Financial Markets. – In: Application of Decision Science in Business and Management. Prof. Fausto Pedro García Márquez, Ed. 2019, IntechOpen. DOI: 10.5772/intechopen.88985. https://www.intechopen.com/online-first/saving-time-in-portfolio-optimization-on-financial-markets
- 20. S u k o n o, P. S i d i, A. T a l i b b i n B o n, S. S u p i a n. Modeling of Mean-VaR Portfolio Optimization by Risk Tolerance When the Utility Function is Quadratic. – In: AIP Conference Proc. 1827, 020035, 2017. https://doi.org/10.1063/1.4979451 https://aip.scitation.org/doi/pdf/10.1063/1.4979451
- 21. T a, V.-D., C.-M. L i u, D. A. T a d e s s e. Portfolio Optimization-Based Stock Prediction Using Long-Short Term Memory Network in Quantitative Trading. – Appl. Sci., Vol. 10, 2020, 437. https://doi.org/10.3390/app1002043710.3390/app10020437
- 22. V l a d i m i r o v, M., T. S t o i l o v, K. S t o i l o v a. New Formal Description of Expert Views of Black-Litterman Asset Allocation Model. – Cybernetics and Information Technologies, Vol. 17, 2017, No 4, рp. 87-98. ISSN: Print ISSN: 1311-9702, Online ISSN: 1314-408, DOI: 10.1515/cait-2017-0043. http://www.cit.iit.bas.bg/CIT_2017/v-17-4/05_paper.pdf10.1515/cait-2017-0043
- 23. https://www.pindling.org/Math/Learning/Statistics/z_scores_table.htm
- 24. http://bse-sofia.bg