Gilli, M.; Kellezi, E.; Hysi, H. - Society for Computational Economics - SCE - 2006
In practical portfolio choice models risk is often defined as VaR, expected shortfall, maximum loss, Omega function …, etc. and is computed from simulated future scenarios of the portfolio value. It is well known that the minimization of … portfolio. The efficiency and robustness of the heuristic is illustrated by solving a collection of real world portfolio …