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IMCSIT
2010
10 years 8 months ago
Efficient Portfolio Optimization with Conditional Value at Risk
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
Wlodzimierz Ogryczak, Tomasz Sliwinski
IOR
2006
91views more  IOR 2006»
10 years 10 months ago
Robust One-Period Option Hedging
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
Frank Lutgens, Jos F. Sturm, Antoon Kolen
FS
2006
164views more  FS 2006»
10 years 10 months ago
Asymptotic behaviour of mean-quantile efficient portfolios
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
Gordana Dmitrasinovic-Vidovic, Antony Ware
GECCO
2008
Springer
192views Optimization» more  GECCO 2008»
10 years 11 months ago
Non-linear factor model for asset selection using multi objective genetic programming
Investors vary with respect to their expected return and aversion to associated risk, and hence also vary in their performance expectations of the stock market portfolios they hol...
Ghada Hassan
GECCO
2009
Springer
121views Optimization» more  GECCO 2009»
11 years 3 months ago
Using memetic algorithms to improve portfolio performance in static and dynamic trading scenarios
The Portfolio Optimization problem consists of the selection of a group of assets to a long-term fund in order to minimize the risk and maximize the return of the investment. This...
Claus de Castro Aranha, Hitoshi Iba
ISIPTA
2005
IEEE
165views Mathematics» more  ISIPTA 2005»
11 years 4 months ago
Electric Company Portfolio Optimization Under Interval Stochastic Dominance Constraints
This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a method...
Daniel Berleant, Mathieu Dancre, Jean-Philippe Arg...
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