Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation
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References listed on IDEAS
- Stefano Ciliberti & Imre Kondor & Marc Mezard, 2007.
"On the feasibility of portfolio optimization under expected shortfall,"
Taylor & Francis Journals, vol. 7(4), pages 389-396.
- Stefano Ciliberti & Imre Kondor & Marc Mezard, 2006. "On the Feasibility of Portfolio Optimization under Expected Shortfall," Papers physics/0606015, arXiv.org.
- Manfred Gilli & Evis Këllezi & Hilda Hysi, "undated".
"A Data-Driven Optimization Heuristic for Downside Risk Minimization,"
Swiss Finance Institute Research Paper Series
06-02, Swiss Finance Institute.
- 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.
More about this item
Keywordsportfolio optimisation; optimization; fund of hedge funds; global search optimisation; direct search; pgsl; hedge fund portfolio;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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