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Year of publication
Subject
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Heuristics 1 Heuristik 1 Mathematical programming 1 Mathematische Optimierung 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Gilli, Manfred 1 Schumann, Enrico 1
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Parallel Computing 1 Research paper series / Swiss Finance Institute 1
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ECONIS (ZBW) 1
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Distributed optimisation of a portfolio's omega
Gilli, Manfred; Schumann, Enrico - 2008
We investigate portfolio selection with alternative objective functions in a distributed computing environment. In particular, we optimise a portfolio's 'Omega' which is the ratio of two partial moments of the returns distributions. Since finding optimal portfolios under such performance...
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