A Data-Driven Optimization Heuristic for Downside Risk Minimization
Download full text from publisher
Other versions of this item:
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:ejores:v:266:y:2018:i:1:p:304-315 is not listed on IDEAS
- Jin Zhang & Dietmar Maringer, 2016. "Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 551-567, April.
- Cyril Caillault, Dominique Guégan, 2009.
"Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy,"
Frontiers in Finance and Economics,
SKEMA Business School, vol. 6(1), pages 26-50, April.
- Cyril Caillault & Dominique Guegan, 2009. "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00375765, HAL.
- Iwona Konarzewska, 2008. "On measuring the sensitivity of the optimal portfolio allocation," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 2, pages 55-73.
- Thiemo Krink & Sandra Paterlini, 2008.
"Differential Evolution for Multiobjective Portfolio Optimization,"
Center for Economic Research (RECent)
021, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08012, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
- Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0007, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- repec:spr:annopr:v:237:y:2016:i:1:d:10.1007_s10479-015-1822-8 is not listed on IDEAS
- Travkin, A., 2015. "Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 25(1), pages 39-55.
- Konstantinos Anagnostopoulos & Georgios Mamanis, 2011. "Multiobjective evolutionary algorithms for complex portfolio optimization problems," Computational Management Science, Springer, vol. 8(3), pages 259-279, August.
- Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
- Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
- Harris, Richard D.F. & Mazibas, Murat, 2013. "Dynamic hedge fund portfolio construction: A semi-parametric approach," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 139-149.
- Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
- Ludovic Gaudard & Jeannette Gabbi & Andreas Bauder & Franco Romerio, 2016. "Long-term Uncertainty of Hydropower Revenue Due to Climate Change and Electricity Prices," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(4), pages 1325-1343, March.
- repec:hal:journl:halshs-00375765 is not listed on IDEAS
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Thiemo Krink & Sandra Paterlini, 2011. "Multiobjective optimization using differential evolution for real-world portfolio optimization," Computational Management Science, Springer, vol. 8(1), pages 157-179, April.
- Yuichi Takano & Jun-ya Gotoh, 2010. "α-Conservative approximation for probabilistically constrained convex programs," Computational Optimization and Applications, Springer, vol. 46(1), pages 113-133, May.
- Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
- Thapar, Rishi & Minsky, Bernard & Obradovic, M & Tang, Qi, 2009. "Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation," MPRA Paper 17099, University Library of Munich, Germany.
More about this item
KeywordsPortfolio optimization; Heuristic optimization; Threshold accepting; Downside risk;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp0602. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ridima Mittal). General contact details of provider: http://edirc.repec.org/data/fameech.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.