• Corpus ID: 124630440

Active extension portfolio optimization with non-convex risk measures using metaheuristics

  title={Active extension portfolio optimization with non-convex risk measures using metaheuristics},
  author={Ronald Hochreiter and Christoph Waldhauser},
  journal={arXiv: Portfolio Management},
We consider the optimization of active extension portfolios. For this purpose, the optimization problem is rewritten as a stochastic programming model and solved using a clever multi-start local search heuristic, which turns out to provide stable solutions. The heuristic solutions are compared to optimization results of convex optimization solvers where applicable. Furthermore, the approach is applied to solve problems with non-convex risk measures, most notably to minimize Value-at-Risk… 

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