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Heuristic Approaches For Portfolio Optimization

Author

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  • Manfred Gilli, Evis Kellezi

    (University of Geneva)

Abstract

The paper first compares the use of optimization heuristics to the classical optimization techniques for the selection of optimal portfolios. Second, the heuristic approach is applied to problems other than those in the standard mean-variance framework where the classical optimization fails.

Suggested Citation

  • Manfred Gilli, Evis Kellezi, 2000. "Heuristic Approaches For Portfolio Optimization," Computing in Economics and Finance 2000 289, Society for Computational Economics.
    • Handle: RePEc:sce:scecf0:289
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    File URL: http://fmwww.bc.edu/cef00/papers/paper289.pdf
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    References listed on IDEAS

    as
    1. Ron Dembo & Dan Rosen, 1999. "The practice of portfolio replication. A practical overview of forward and inverse problems," Annals of Operations Research, Springer, vol. 85(0), pages 267-284, January.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Gunter Dueck & Peter Winker, 1992. "New concepts and algorithms for portfolio choice," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 8(3), pages 159-178, September.
    4. Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
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    Cited by:

    1. Derya TURFAN & Cagdas Hakan ALADAG & Ozgur YENIAY, 2012. "A New Genetic Algorithm To Solve Knapsack Problems," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 1(2), pages 40-47, DECEMBER.
    2. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.

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