An Empirical Analysis of Alternative Portfolio Selection Criteria
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- Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- repec:wsi:rpbfmp:v:16:y:2013:i:04:n:s0219091513500288 is not listed on IDEAS
- Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
More about this item
KeywordsPortfolio optimisation; Optimisation heuristics; Partial moments; Downside risk; Expected Shortfall; Value-at-Risk; Risk measures; Performance measures; Threshold Accepting;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- 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
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