Distributed optimisation of a portfolio's omega

DOI10.1016/j.parco.2009.10.001zbMath1194.91191OpenAlexW3124096137MaRDI QIDQ991131

Enrico Schumann, Manfred Gilli

Publication date: 2 September 2010

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.parco.2009.10.001

zbMATH Keywords

threshold acceptingdistributed computingportfolio optimisationoptimisation heuristics

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Approximation methods and heuristics in mathematical programming (90C59) Distributed systems (68M14) Portfolio theory (91G10)

Related Items (5)

On the robustness of portfolio allocation under copula misspecification ⋮ Linear programming models based on omega ratio for the enhanced index tracking problem ⋮ Heuristic optimisation in financial modelling ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Distributed optimisation of a portfolio's omega

Cites Work

• Optimizing Omega
• Portfolio management with heuristic optimization.
• Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
• Applications of optimization heuristics to estimation and modelling problems
• Distributed optimisation of a portfolio's omega
• On the convergence of ``threshold accepting
• Bootstrap methods: another look at the jackknife
• Coherent Measures of Risk
• Application of Threshold-Accepting to the Evaluation of the Discrepancy of a Set of Points
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