simplified problems might not be satisfying. A different approach consists in applying optimization heuristics such as … standard in several fields of sciences, their use in estimation and modelling in econometrics appears to be still limited. We … present an introduction to heuristic optimization methods and provide some examples for which these methods are found to work …

We discuss the precision with which financial models are handled, in particular optimization models. We argue that … optimization, such analyses are often neglected; operators and researchers rather show an a priori preference for numerically …

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve …

optimal asset allocations which differ from the meanvariance optimum. The resulting optimization problem can become quite … in the portfolio. In such situations classical optimization methods fail to work efficiently and heuristic optimization … techniques can be the only way out. The paper shows how a particular optimization heuristic, called threshold accepting, can be …

assets. We find that the threshold accepting is a very suitable and efficient optimization technique for this problem. …

these functions can not, in general, be performed with standard methods. We present a multi-purpose data-driven optimization … optimization problems using different risk functions such as VaR, expected shortfall, maximum loss and Omega function with the same …