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Multiobjective optimization using differential evolution for real-world portfolio optimization

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  • Thiemo Krink
  • Sandra Paterlini

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10287-009-0107-6
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Bibliographic Info

Article provided by Springer in its journal Computational Management Science.

Volume (Year): 8 (2011)
Issue (Month): 1 (April)
Pages: 157-179

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Handle: RePEc:spr:comgts:v:8:y:2011:i:1:p:157-179

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Web page: http://www.springerlink.com/link.asp?id=111894

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Related research

Keywords: Portfolio optimization; Multiobjective; Real-world constraints; Value-at-Risk; Differential evolution;

References

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  1. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2007. "Using differential evolution to improve the accuracy of bank rating systems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 68-87, September.
  2. Manfred Gilli & Evis Këllezi & Hilda Hysi, . "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Swiss Finance Institute Research Paper Series 06-02, Swiss Finance Institute.
  3. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2008. "The optimal structure of PD buckets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2275-2286, October.
  4. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009. "Differential Evolution and Combinatorial Search for Constrained Index Tracking," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09032, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi".
  5. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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Citations

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Cited by:
  1. Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".
  2. Jarraya, Bilel, 2013. "Asset allocation and portfolio optimization problems with metaheuristics: a literature survey," MPRA Paper 53698, University Library of Munich, Germany, revised 2013.
  3. Ankit Dangi, 2013. "Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?," Papers 1301.4194, arXiv.org.
  4. Constantin Zopounidis & Michael Doumpos, 2013. "Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 21(2), pages 241-261, July.
  5. Andriosopoulos, Kostas & Nomikos, Nikos, 2014. "Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets," European Journal of Operational Research, Elsevier, vol. 234(2), pages 571-582.

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