Minimization of Value at Risk of Financial Assets Portfolio using Genetic Algorithms and Neural Networks

El Hachloufi Mostafa, El Haddad Mohammed and El Attar Abderrahim

Journal of Applied Finance & Banking, 2016, vol. 6, issue 2, 3

Abstract: In this paper we have proposed an approach for minimization of a shares portfolio invested in a market which the fluctuations follow a normal distribution based in amathematical explicit formulae for calculating Value at Risk (VaR) for portfolios of linear financial assets invested using the Black-Scholes stochastic process and assuming that the portfolio structure remains constant over the considered time horizon. We minimize this Value at Risk using neural networks and genetic algorithms.

Date: 2016
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