A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall
نویسنده
چکیده
Constraints on downside risk, measured by shortfall probability, expected shortfall etc., lead to optimal asset allocations which differ 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 integers, constraints on the holding size of assets or on the maximum number of different assets in the portfolio. In such situations classical optimization methods fail to work ef£ciently and heuristic optimization techniques can be the only way out. The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems. JEL codes: G11, C61, C63.
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...
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