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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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The (ir)rationality of the 1/N heuristic
Abate, Guido - In: International journal of behavioural accounting and … 4 (2014) 4, pp. 305-324
Persistent link: https://www.econbiz.de/10011349153
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Genetic algorithm versus classical methods in sparse index tracking
Giuzio, Margherita - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 243-256
Persistent link: https://www.econbiz.de/10011997732
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A heuristic framework for the bi-objective enhanced index tracking problem
Filippi, C.; Guastaroba, Gianfranco; Speranza, Maria Grazia - In: Omega : the international journal of management science 65 (2016), pp. 122-137
Persistent link: https://www.econbiz.de/10011582044
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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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Optimization heuristics in portfolio selection
Giuzio, Margherita - In: Essays in portfolio selection, (pp. 98-110). 2017
Persistent link: https://www.econbiz.de/10012111518
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The portfolio heuristic optimisation system (PHOS)
Loukeris, N.; Eleftheriadis, I.; Livanis, E. - In: Computational economics 48 (2016) 4, pp. 627-648
Persistent link: https://www.econbiz.de/10011713087
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Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - 2017
Persistent link: https://www.econbiz.de/10011778629
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Minimizing the tracking error of cardinality constrained portfolios
Mutunge, Purity; Haugland, Dag - In: Computers & operations research : and their … 90 (2018), pp. 33-41
Persistent link: https://www.econbiz.de/10011775221
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Risk-reward ratio optimisation (revisited)
Gilli, Manfred; Schumann, Enrico - 2017
We study the empirical performance of alternative risk and reward specifications in portfolio selection. In particular, we look at models that take into account asymmetry of returns, and treat losses and gains differently. In tests on a dataset of German equities we find that portfolios...
Persistent link: https://www.econbiz.de/10011874823