A Heuristic Approach to Portfolio Optimization

@inproceedings{Gilli2000AHA,
  title={A Heuristic Approach to Portfolio Optimization},
  author={Manfred Gilli and Evis K{\"e}llezi},
  year={2000}
}
Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which differ from the meanvariance optimum. The resulting optimization problem can become quite complex as it exhibits multiple local extrema and discontinuities, in particular if we also introduce constraints restricting the trading variables to integers, constraints on the holding size of assets or on the maximum number of different assets in the portfolio… CONTINUE READING

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