A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios

DOI10.1016/j.csda.2003.11.016zbMath1429.62478OpenAlexW1973295713MaRDI QIDQ957021

Detlef Seese, Frank Schlottmann

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.016

zbMATH Keywords

local searchportfolio credit riskmulti-objective evolutionary algorithmconstrained Pareto-efficient portfoliocredit-value-at-riskhybrid heuristic approach

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59) Credit risk (91G40)

Related Items (7)

Evolutionary Computation for Modelling and Optimization in Finance ⋮ Credit portfolio management using two-level particle swarm optimization ⋮ Applications of optimization heuristics to estimation and modelling problems ⋮ A multiobjective metaheuristic for a mean-risk multistage capacity investment problem ⋮ A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem ⋮ Particle swarm optimization approach to portfolio optimization ⋮ Portfolio optimization with an envelope-based multi-objective evolutionary algorithm

Uses Software

• MRG32k3a
• CreditRisk+

Cites Work

• Heuristics for cardinality constrained portfolio optimization
• Multicriteria optimization
• Coherent Measures of Risk
• Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
• Nonlinear goal programming using multi-objective genetic algorithms
• Credit risk optimization with conditional Value-at-Risk criterion
• Evolutionary algorithms for single and multicriteria design optimization
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