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

Ronald Hochreiter; Christoph Waldhauser

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

Vienna University of Economics and Business

Publikation: Beitrag in Fachzeitschrift › Konferenzartikel › peer-review

Originalsprache	Englisch
Seiten (von - bis)	1-6
Seitenumfang	6
Fachzeitschrift	Mendel
Jahrgang	2014-January
Ausgabenummer	January
Publikationsstatus	Veröffentlicht - 2014
Extern publiziert	Ja
Veranstaltung	20th International Conference on Soft Computing: Evolutionary Computation, Genetic Programming, Swarm Intelligence, Fuzzy Logic, Neural Networks, Fractals, Bayesian Methods, MENDEL 2014 - Brno, Tschechische Republik Dauer: 25 Juni 2014 → 27 Juni 2014

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@article{841d63c3620b42ac9d17bd7dfc32bbd8,

title = "Active extension portfolio optimization with non-convex risk measures using metaheuristics",

keywords = "Metaheuristics, Multi-start local search, Portfolio optimization, Risk management, Stochastic programming",

author = "Ronald Hochreiter and Christoph Waldhauser",

year = "2014",

language = "English",

volume = "2014-January",

pages = "1--6",

journal = "Mendel",

issn = "1803-3814",

publisher = "Brno University of Technology",

number = "January",

note = "20th International Conference on Soft Computing: Evolutionary Computation, Genetic Programming, Swarm Intelligence, Fuzzy Logic, Neural Networks, Fractals, Bayesian Methods, MENDEL 2014 ; Conference date: 25-06-2014 Through 27-06-2014",

}

TY - JOUR

T1 - Active extension portfolio optimization with non-convex risk measures using metaheuristics

AU - Hochreiter, Ronald

AU - Waldhauser, Christoph

PY - 2014

Y1 - 2014

KW - Metaheuristics

KW - Multi-start local search

KW - Portfolio optimization

KW - Risk management

KW - Stochastic programming

UR - https://www.scopus.com/pages/publications/84938061843

M3 - Conference article

AN - SCOPUS:84938061843

SN - 1803-3814

VL - 2014-January

SP - 1

EP - 6

JO - Mendel

JF - Mendel

IS - January

T2 - 20th International Conference on Soft Computing: Evolutionary Computation, Genetic Programming, Swarm Intelligence, Fuzzy Logic, Neural Networks, Fractals, Bayesian Methods, MENDEL 2014

Y2 - 25 June 2014 through 27 June 2014

ER -

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

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