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Stochastic multi-attribute acceptability analysis-based heuristic algorithms for multi-attribute project portfolio selection and scheduling problem
Song, Shiling; Wei, Tingting; Yang, Feng; Xia, Qiong - In: Journal of the Operational Research Society 72 (2021) 6, pp. 1373-1389
Persistent link: https://www.econbiz.de/10012588892
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Selecting algorithms for large berth allocation problems
Wawrzyniak, Jakub; Drozdowski, Maciej; Sanlaville, Eric - In: European journal of operational research : EJOR 283 (2020) 3, pp. 844-862
Persistent link: https://www.econbiz.de/10012171660
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Does risk propensity of investors affect the heuristic choice of sri portfolio selection? : a comparison between a market portfolio and SRI portfolio
Panja, Soma - In: Global business review 23 (2022) 6, pp. 1481-1491
Persistent link: https://www.econbiz.de/10013479692
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Metaheuristics for the index tracking problem
Tollo, Giacomo di; Maringer, Dietmar G. - In: Metaheuristics in the service industry, (pp. 127-154). 2009
Persistent link: https://www.econbiz.de/10003852274
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Heuristic approaches to realistic portfolio optimisation
Busetti, F. - In: Computational finance and its applications II : [Second …, (pp. 361-370). 2006
Persistent link: https://www.econbiz.de/10003410214
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Heuristic portfolio optimization : Bayesian updating with the Johnson family of distributions
Louth, Richard - In: Optimizing optimization : the next generation of …, (pp. 247-281). 2010
Persistent link: https://www.econbiz.de/10003939160
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Risk preferences and loss aversion in portfolio optimization
Maringer, Dietmar G. - In: Computational methods in financial engineering : essays …, (pp. 27-45). 2008
Persistent link: https://www.econbiz.de/10003669427
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Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
Specht, Katja; Winker, Peter - In: Computational methods in financial engineering : essays …, (pp. 73-94). 2008
Persistent link: https://www.econbiz.de/10003669449
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Distributed optimisation of a portfolio's omega
Gilli, Manfred; Schumann, Enrico - 2008
We investigate portfolio selection with alternative objective functions in a distributed computing environment. In particular, we optimise a portfolio's 'Omega' which is the ratio of two partial moments of the returns distributions. Since finding optimal portfolios under such performance...
Persistent link: https://www.econbiz.de/10003961715
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Constructing long/short portfolios with the Omega ratio
Gilli, Manfred; Schumann, Enrico; Tollo, Giacomo di; … - 2008
We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...
Persistent link: https://www.econbiz.de/10003966094