Optimal hedge fund portfolios under liquidation risk

DOI10.1080/14697688.2010.506883zbMath1210.91118OpenAlexW1996390949MaRDI QIDQ2994854

R. Gibson Brandon, Sébastien Gyger

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.506883

zbMATH Keywords

genetic algorithmsportfolio optimizationportfolio managementhedge fundsliquidation risk

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Utility theory (91B16) Portfolio theory (91G10)

Uses Software

• Genocop

Cites Work

• Heuristics for cardinality constrained portfolio optimization
• Risk Aversion in the Small and in the Large
• Unnamed Item

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