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Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios

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Author Info
Frank Schlottmann
Detlef Seese
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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 78.

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Date of creation: 01 Jul 2002
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Handle: RePEc:sce:scecf2:78

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Related research
Keywords: Pareto-efficient portfolio structures constrained portfolio management hybrid method multi-objective evolutionary algorithm local search credit risk downside risk computational complexity

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Investment Policy
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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