A note on evolutionary stochastic portfolio optimization and probabilistic constraints

Ronald Hochreiter ()

Papers from arXiv.org

Abstract: In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evolutionary optimization environment are ideally suited for an integration of various types of probabilistic constraints. We show an approach on how to integrate these constraints. Numerical results using recent financial data substantiate the applicability of the presented approach.

Date: 2010-01
New Economics Papers: this item is included in nep-evo
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Published in Proceedings of MENDEL 2010: 1-6. 2010

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1001.5421

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