Active extension portfolio optimization with non-convex risk measures using metaheuristics

Ronald Hochreiter () and Christoph Waldhauser

Papers from arXiv.org

Abstract: We consider the optimization of active extension portfolios. For this purpose, the optimization problem is rewritten as a stochastic programming model and solved using a clever multi-start local search heuristic, which turns out to provide stable solutions. The heuristic solutions are compared to optimization results of convex optimization solvers where applicable. Furthermore, the approach is applied to solve problems with non-convex risk measures, most notably to minimize Value-at-Risk. Numerical results using data from both the Dow Jones Industrial Average as well as the DAX 30 are shown.

Date: 2014-06
New Economics Papers: this item is included in nep-cmp and nep-rmg
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Published in Proceedings of MENDEL 2014: 1-6. 2014

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1406.7723

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