Similar Search Results

Interval-valued upside potential and downside risk portfolio optimisation

Kaucic, Massimiliano; Daris, Roberto - In: Economic research 30 (2017) 1,2, pp. 1406-1426

Persistent link: https://www.econbiz.de/10012224824

Multi-objective stochastic optimization programs for a non-life insurance company under solvency constraints

Kaucic, Massimiliano; Daris, Roberto - In: Risks : open access journal 3 (2015) 3, pp. 390-419

In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order to generate a dotted approximation of the...

Persistent link: https://www.econbiz.de/10011402555

Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

Kaucic, Massimiliano - In: Computers & operations research : and their … 109 (2019), pp. 300-316

Persistent link: https://www.econbiz.de/10012065063

A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures

Kaucic, Massimiliano; Piccotto, Filippo; Sbaiz, Gabriele - In: Computational management science 21 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10014442612