An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures

Ronald Hochreiter

doi:10.1007/978-3-540-71805-5_22

An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures

Ronald Hochreiter

University of Vienna

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Original language	English
Title of host publication	Applications of Evolutionary Computing - EvoWorkshops 2007
Subtitle of host publication	EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG, Proceedings
Publisher	Springer Verlag
Pages	199-207
Number of pages	9
ISBN (Print)	3540718044, 9783540718048
DOIs	https://doi.org/10.1007/978-3-540-71805-5_22
Publication status	Published - 2007
Externally published	Yes
Event	EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG - Valencia, Spain Duration: 11 Apr 2007 → 13 Apr 2007

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume	4448 LNCS
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG
Country/Territory	Spain
City	Valencia
Period	11/04/07 → 13/04/07

Keywords

Evolutionary computation
General risk measures
Portfolio optimization
Scenario-based financial engineering

Access to Document

10.1007/978-3-540-71805-5_22

Cite this

Hochreiter, R. (2007). An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures. In Applications of Evolutionary Computing - EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG, Proceedings (pp. 199-207). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 4448 LNCS). Springer Verlag. https://doi.org/10.1007/978-3-540-71805-5_22

Hochreiter, Ronald. / An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures. Applications of Evolutionary Computing - EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG, Proceedings. Springer Verlag, 2007. pp. 199-207 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).

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title = "An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures",

keywords = "Evolutionary computation, General risk measures, Portfolio optimization, Scenario-based financial engineering",

author = "Ronald Hochreiter",

year = "2007",

doi = "10.1007/978-3-540-71805-5\_22",

language = "English",

isbn = "3540718044",

series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",

publisher = "Springer Verlag",

pages = "199--207",

booktitle = "Applications of Evolutionary Computing - EvoWorkshops 2007",

note = "EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG ; Conference date: 11-04-2007 Through 13-04-2007",

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Hochreiter, R 2007, An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures. in Applications of Evolutionary Computing - EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG, Proceedings. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 4448 LNCS, Springer Verlag, pp. 199-207, EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG, Valencia, Spain, 11/04/07. https://doi.org/10.1007/978-3-540-71805-5_22

An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures. / Hochreiter, Ronald.
Applications of Evolutionary Computing - EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG, Proceedings. Springer Verlag, 2007. p. 199-207 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 4448 LNCS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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KW - Portfolio optimization

KW - Scenario-based financial engineering

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DO - 10.1007/978-3-540-71805-5_22

M3 - Conference contribution

AN - SCOPUS:34548056512

SN - 3540718044

SN - 9783540718048

T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

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EP - 207

BT - Applications of Evolutionary Computing - EvoWorkshops 2007

PB - Springer Verlag

T2 - EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG

Y2 - 11 April 2007 through 13 April 2007

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Hochreiter R. An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures. In Applications of Evolutionary Computing - EvoWorkshops 2007: EvoCOMNET, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTRANSLOG, Proceedings. Springer Verlag. 2007. p. 199-207. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)). doi: 10.1007/978-3-540-71805-5_22

An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures

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