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Multiobjective optimization using differential evolution for real-world portfolio optimization

  • Thiemo Krink
  • Sandra Paterlini

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10287-009-0107-6
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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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  1. 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.
  2. M. Gilli & E. Kellezi & H. Hysi, 2006. "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Computing in Economics and Finance 2006 355, Society for Computational Economics.
  3. 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.
  4. 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.
  5. 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, Dipartimento di Economia "Marco Biagi".
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