Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios

Frank Schlottmann and Detlef Seese

No 78, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Pareto-efficient portfolio structures; constrained portfolio management; hybrid method; multi-objective evolutionary algorithm; local search; credit risk; downside risk; computational complexity (search for similar items in EconPapers)
JEL-codes: G11 G21 G31 G33 (search for similar items in EconPapers)
Date: 2002-07-01
New Economics Papers: this item is included in nep-cmp
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