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Optimization and portfolio selection

Forsey, Hal; Sortino, Frank Alphonse - In: Optimizing optimization : the next generation of …, (pp. 161-177). 2010

Persistent link: https://www.econbiz.de/10003939113

Computing optimal mean/downside risk frontiers : the role of ellipticity

Hall, Tony; Satchell, Stephen - In: Optimizing optimization : the next generation of …, (pp. 179-199). 2010

Persistent link: https://www.econbiz.de/10003939154

Portfolio optimization with "threshold accepting" : a practical guide

Gilli, Manfred; Schumann, Enrico - In: Optimizing optimization : the next generation of …, (pp. 201-223). 2010

Persistent link: https://www.econbiz.de/10003939156

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

A note on utility maximization with unbounded random endowment

Owari, Keita - 2009

Persistent link: https://www.econbiz.de/10003940089

Survival and evolutionary stability of the Kelly rule

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2009

This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...