{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,20]],"date-time":"2025-12-20T22:15:52Z","timestamp":1766268952407,"version":"3.37.3"},"reference-count":0,"publisher":"National Library of Serbia","issue":"1","license":[{"start":{"date-parts":[[2014,1,1]],"date-time":"2014-01-01T00:00:00Z","timestamp":1388534400000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100004564","name":"Ministry of Education, Science and Technological Development of the Republic of Serbia","doi-asserted-by":"publisher","award":["III-44010 i  OH 179005"],"award-info":[{"award-number":["III-44010 i  OH 179005"]}],"id":[{"id":"10.13039\/501100004564","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["ComSIS","COMPUT SCI INF SYST","COMPUT SCI INFORM SY","COMPUTER SCI INFORM","COMSIS J"],"published-print":{"date-parts":[[2014]]},"abstract":"<jats:p>In this paper we solve the problem of static portfolio allocation based on\n   historical Value at Risk (VaR) by using genetic algorithm (GA). VaR is a\n   predominantly used measure of risk of extreme quantiles in modern finance.\n   For estimation of historical static portfolio VaR, calculation of time series\n   of portfolio returns is required. To avoid daily recalculations of proportion\n   of capital invested in portfolio assets, we introduce a novel set of weight\n   parameters based on proportion of shares. Optimal portfolio allocation in the\n   VaR context is computationally very complex since VaR is not a coherent risk\n   metric while number of local optima increases exponentially with the number\n   of securities. We presented two different single-objective and a\n   multiobjective technique for generating mean-VaR efficient frontiers. Results\n   document good risk\/reward characteristics of solution portfolios while there\n   is a trade-off between the ability to control diversity of solutions and\n   computation time.<\/jats:p>","DOI":"10.2298\/csis121024017r","type":"journal-article","created":{"date-parts":[[2014,1,3]],"date-time":"2014-01-03T11:37:09Z","timestamp":1388749029000},"page":"89-109","source":"Crossref","is-referenced-by-count":19,"title":["The mean-value at risk static portfolio optimization using genetic algorithm"],"prefix":"10.2298","volume":"11","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0407-6067","authenticated-orcid":false,"given":"Vladimir","family":"Rankovic","sequence":"first","affiliation":[{"name":"Faculty of Economics, Kragujevac"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0747-6039","authenticated-orcid":false,"given":"Mikica","family":"Drenovak","sequence":"additional","affiliation":[{"name":"Faculty of Economics, Kragujevac"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2901-0061","authenticated-orcid":false,"given":"Boban","family":"Stojanovic","sequence":"additional","affiliation":[{"name":"Faculty of Science, Department of Mathematics and Informatics, Kragujevac"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8137-9005","authenticated-orcid":false,"given":"Zoran","family":"Kalinic","sequence":"additional","affiliation":[{"name":"Faculty of Economics, Kragujevac"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4985-6988","authenticated-orcid":false,"given":"Zora","family":"Arsovski","sequence":"additional","affiliation":[{"name":"Faculty of Economics, Kragujevac"}]}],"member":"1078","container-title":["Computer Science and Information Systems"],"original-title":[],"language":"en","deposited":{"date-parts":[[2023,5,29]],"date-time":"2023-05-29T08:31:30Z","timestamp":1685349090000},"score":1,"resource":{"primary":{"URL":"https:\/\/doiserbia.nb.rs\/Article.aspx?ID=1820-02141400017R"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2014]]}},"URL":"https:\/\/doi.org\/10.2298\/csis121024017r","relation":{},"ISSN":["1820-0214","2406-1018"],"issn-type":[{"type":"print","value":"1820-0214"},{"type":"electronic","value":"2406-1018"}],"subject":[],"published":{"date-parts":[[2014]]}}}