Showing 1 - 10 of 10
The R package DEoptim implements the differential evolution algorithm. This algorithm is an evolutionary technique similar to genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for...
Persistent link: https://www.econbiz.de/10012940644
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...
Persistent link: https://www.econbiz.de/10011402861
We study optimal investment strategies under the objective of maximizing the Omega ratio, proposed by Keating and Shadwick (2002) as an alternative to the Sharpe ratio for performance assessment of investment strategies. We show that in a standard set-up of the financial market the problem is...
Persistent link: https://www.econbiz.de/10012902059
Pourbabaee, Kwak, and Pirvu (2016) determine the constant-mix strategy that minimizes Capital at Risk (CaR) under a negative correlation constraint with a benchmark. We extend their result to any increasing law invariant objective function without condition on the sign of the correlation. In...
Persistent link: https://www.econbiz.de/10012855501
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...
Persistent link: https://www.econbiz.de/10013018190
We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal allocation of wealth within the class of 'constant mix' portfolios.First, we consider the portfolio...
Persistent link: https://www.econbiz.de/10013039513
Persistent link: https://www.econbiz.de/10013259929
Persistent link: https://www.econbiz.de/10011906370
Persistent link: https://www.econbiz.de/10012214351
Persistent link: https://www.econbiz.de/10011993573