"Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach."

Vladimir Rankovic et al. (2016)

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DOI: 10.1016/J.COR.2016.01.014

access: open

type: Journal Article

metadata version: 2024-10-06

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Vladimir Rankovic, Mikica Drenovak, Branko Urosevic, Ranko Jelic:
Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach. Comput. Oper. Res. 72: 83-92 (2016)

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