HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION

Manfred Gilli ()

No 289, Computing in Economics and Finance 2000 from Society for Computational Economics

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.

Date: 2000-07-05
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Persistent link: http://EconPapers.repec.org/RePEc:sce:scecf0:289

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