a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investorâ … portfolio optimization framework based on minimizing the Lower-Partial-Moment (LPM) and maximizing the upper-partial-moment (UPM … the complexity of the optimization problem, and the high nonlinearities and discontinuities, we use a metaheuristic …

In this paper we consider expected value and mean variance optimization of a general forward--looking stochastic model …

simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market … financial market time series. The goal of this paper is twofold. First, we compare simulation results of agent based models with …

the Nested Fixed-Point approach. We present a direct optimization approach to the problem and show that it is … optimization problem qualitatively no more difficult to solve than standard maximum likelihood estimation problems. The direct … optimization approach is also applicable to other structural estimation problems such as auctions and RBC models, and also to other …

In economics, numerical optimization is usually carried out using a package designed to optimize a black-box function f … allow for the increased gains from parallel execution. This paper describes how to modify standard generic optimization code … are described and some leading examples of optimization problems in economics and econometrics are mapped into the general …

securities. In this paper we present three algorithms to approach the underlying NP-hard problem of portfolio optimization with a …