A numerical evaluation of meta-heuristic techniques in portfolio optimisation

DOI10.1007/s12351-008-0028-0zbMath1175.90228OpenAlexW2136385772MaRDI QIDQ839988

N. E. Zubov

Publication date: 4 September 2009

Published in: Operational Research. An International Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12351-008-0028-0

zbMATH Keywords

heuristicsportfolio managementefficient frontierpower and quadratic utility

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (1)

Fuzzy turnover rate chance constraints portfolio model

Uses Software

• Boids

Cites Work

• Estimation of Relationships for Limited Dependent Variables
• Optimum consumption and portfolio rules in a continuous-time model
• A preference foundation for log mean-variance criteria in portfolio choice problems
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Global optimization of higher order moments in portfolio selection
• Tackling real-coded genetic algorithms: operators and tools for behavioural analysis
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Multicriteria optimization using a genetic algorithm for determining a Pareto set
• Risk Aversion in the Small and in the Large
• The Efficiency Analysis of Choices Involving Risk
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• Exposition of a New Theory on the Measurement of Risk

This page was built for publication: A numerical evaluation of meta-heuristic techniques in portfolio optimisation