Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios
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More about this item
Keywords
Pareto-efficient portfolio structures; constrained portfolio management; hybrid method; multi-objective evolutionary algorithm; local search; credit risk; downside risk; computational complexity;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2003-10-20 (Computational Economics)
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