Global optimization of higher order moments in portfolio selection

Journal of Global Optimization

Volumn 43, Issue 2-3, 2009, Pages 219-230

  Maringer, Dietmar ^a   Parpas, Panos ^b  

^a UNIVERSITY OF ESSEX   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Global optimization; Heuristics; Markowitz model; Portfolio selection

Indexed keywords

CONVEX OPTIMIZATION; DIFFERENTIAL EQUATIONS; EVOLUTIONARY ALGORITHMS; GLOBAL OPTIMIZATION; HEURISTIC METHODS; NORMAL DISTRIBUTION; OPTIMIZATION; PROBABILITY DENSITY FUNCTION; RANDOM PROCESSES;

ASYMPTOTIC BEHAVIORS; CLASSICAL MODELS; CONTINUOUS OPTIMIZATION PROBLEMS; DIFFERENTIAL EVOLUTIONS; FINANCIAL ASSETS; HEURISTICS; HIGHER ORDER MOMENTS; MARKOWITZ MODEL; MEAN VARIANCE MODELS; META-HEURISTIC; NEW SOLUTIONS; OBJECTIVE FUNCTIONS; PORTFOLIO SELECTION; STOCHASTIC ALGORITHMS; THREE TERMS; UTILITY FUNCTIONS;

STOCHASTIC MODELS;

EID: 59449106174     PISSN: 09255001     EISSN: 15732916     Source Type: Journal    
DOI: 10.1007/s10898-007-9224-3     Document Type: Article

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