Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation
Year of publication: |
2009-08-19
|
---|---|
Authors: | Thapar, Rishi ; Minsky, Bernard ; Obradovic, M ; Tang, Qi |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | portfolio optimisation | optimization | fund of hedge funds | global search optimisation | direct search | pgsl | hedge fund portfolio |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Classification: | G11 - Portfolio Choice ; C63 - Computational Techniques ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
-
Relevant States and Memory in Markov Chain Bootstrapping and Simulation
Cerqueti, Roy, (2013)
-
An Empirical Analysis of Alternative Portfolio Selection Criteria
GILLI, Manfred, (2009)
-
Heuristic Optimisation in Financial Modelling
Gilli, Manfred, (2009)
- More ...
-
A risk measure for S-shaped assets and prediction of investment performance
Tang, Qi, (2012)
-
Applying a Global Optimisation Algorithm to Fund of Hedge Funds Portfolio Optimisation
Thapar, Rishi, (2009)
-
A Risk Measure for S-Shaped Assets and Prediction of Investment Performance
Tang, Qi, (2012)
- More ...