Quotation Hochreiter, Ronald. 2007. An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures. Lecture Notes in Computer Science 4448 199-207.


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Abstract

Due to increasing complexity and non-convexity of financial engineering problems, biologically inspired heuristic algorithms gained significant importance especially in the area of financial decision optimization. In this paper, the stochastic scenario-based risk-return portfolio optimization problem is analyzed and solved with an evolutionary computation approach. The advantage of applying this approach is the creation of a common framework for an arbitrary set of loss distribution-based risk measures, regardless of their underlying structure. Numerical results for three of the most commonly used risk measures conclude the paper.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Lecture Notes in Computer Science (LNCS)
WU-Journal-Rating new STRAT-C
Language English
Title An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures
Volume 4448
Year 2007
Page from 199
Page to 207
Reviewed? Y
URL http://portal.acm.org/citation.cfm?id=1574763

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Hochreiter, Ronald (Details)
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Institute for Statistics and Mathematics IN (Details)
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