We propose a novel linear approximation of expected utility. The approximation guides us as we transfer the traditional quadratic dependence of third-order stochastic dominance (TSD) into an equivalent linear system. The finding also shows a dual relationship between traditional low partial...

Simulated annealing (SA) is a stochastic optimization method with principles taken from the physical process called “annealing” which aims to bring a solid to its ground state or state of minimum energy. SA is known as a simple heuristic tool suitable for providing direct or approximate...

We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...