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

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  • Schlottmann, Frank
  • Seese, Detlef

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  • Schlottmann, Frank & Seese, Detlef, 2004. "A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 373-399, September.
    • Handle: RePEc:eee:csdana:v:47:y:2004:i:2:p:373-399
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    References listed on IDEAS

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    1. Gunter Dueck & Peter Winker, 1992. "New concepts and algorithms for portfolio choice," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 8(3), pages 159-178, September.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. David Knights & Hugh Willmott, 1992. "Conceptualizing Leadership Processes: A Study Of Senior Managers In A Financial Services Company," Journal of Management Studies, Wiley Blackwell, vol. 29(6), pages 761-782, November.
    4. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    5. D. Seese & F. Schlottmann, "undated". "The building blocks of complexity: a unified criterion and selected applications in risk management," Modeling, Computing, and Mastering Complexity 2003 14, Society for Computational Economics.
    6. Pierre L'Ecuyer, 1999. "Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators," Operations Research, INFORMS, vol. 47(1), pages 159-164, February.
    7. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    Cited by:

    1. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    2. João Claro & Jorge Sousa, 2010. "A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem," Computational Optimization and Applications, Springer, vol. 46(3), pages 427-450, July.
    3. N. C. Suganya & G. A. Vijayalakshmi Pai, 2010. "Pareto‐archived evolutionary wavelet network for financial constrained portfolio optimization," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 17(2), pages 59-90, April.

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