Portfolio approaches for constraint optimization problems
نویسندگان
چکیده
منابع مشابه
Heuristic Approaches for Portfolio Optimization y
Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which di er from the mean-variance optimum. The resulting optimization problem can become quite complex as it exhibits multiple local extrema and discontinuities, in particular if we also introduce constraints restricting the trading variables to be integers...
متن کاملBelief Propagation Algorithm for Portfolio Optimization Problems
The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti et al. [Eur. Phys. B. 57, 175 (2007)]; however, they have not yet developed an approximate derivation method for finding the optimal portfolio with respect to a given return set. In this study, an app...
متن کاملEconometrics and Metaheuristic Optimization Approaches to International Portfolio Diversification
Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...
متن کاملOptimum Anytime Bounding for Constraint Optimization Problems
In this paper, we consider Constraint Optimization Problems in a Resource-Bounded context. We observe that both exact and approximate methods produce only an anytime upper bound of the optimum (in case of minimization). No lower bound, and thus no quality is available at run time. For a meta-reasoning system, it is difficult to reason on the basis of a so poor piece of information. Therefore, w...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annals of Mathematics and Artificial Intelligence
سال: 2015
ISSN: 1012-2443,1573-7470
DOI: 10.1007/s10472-015-9459-5