Constrained mean-risk portfolio optimisation: an application of multiobjective simulated annealing

Author： Mamanis Georgios  

Publisher： Inderscience Publishers

ISSN： 1756-7130

Source： International Journal of Financial Markets and Derivatives, Vol.2, Iss.1-2, 2011-02, pp. : 50-67

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Mean-risk models using two risk measures: a multi-objective approach

By Roman Diana   Darby-Dowman Kenneth   Mitra Gautam  

Quantitative Finance, Vol. 7, Iss. 4, 2007-08 ,pp. : 443-458

Routledge Ltd

Access to resources Recommend Favorite

Optimisation of allocated portfolio using multi-objective stochastic programming

By Ekhtiari Mostafa   Alinezhad Alireza   Kazemi Abolfazl  

International Journal of Financial Services Management, Vol. 6, Iss. 2, 2013-09 ,pp. : 155-169

Inderscience Publishers

Access to resources Recommend Favorite

Risk-minimising investment strategies — Embedding portfolio optimisation into a dynamic insurance framework

By Theiler Ursula  

Journal of Risk Management in Financial Institutions, Vol. 4, Iss. 4, 2011-09 ,pp. : 334-369

Henry Stewart Publications

Access to resources Recommend Favorite

Value optimisation in a regulatory constrained regime — A new look at risk vs return optimisation

By Miu Peter   Ozdemir Bogie   Giesinger Michael  

Journal of Risk Management in Financial Institutions, Vol. 5, Iss. 1, 2011-12 ,pp. : 10-35

Henry Stewart Publications

Access to resources Recommend Favorite

Hybrid metaheuristics for constrained portfolio selection problems

By Gaspero Luca Di   Tollo Giacomo Di   Roli Andrea   Schaerf Andrea  

Quantitative Finance, Vol. 11, Iss. 10, 2011-10 ,pp. : 1473-1487

Routledge Ltd

Access to resources Recommend Favorite