Distributed optimisation of a portfolio's omega

DOI10.1016/J.PARCO.2009.10.001MaRDI QIDQ991131zbMATH OpenOpenAlexFDO

Authors Manfred Gilli, Enrico Schumann

Publication date 2 September 2010

Published in Parallel Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.parco.2009.10.001

zbMATH Keywords

distributed computingportfolio optimisationthreshold acceptingoptimisation heuristics

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Distributed systems (68M14)

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Cites work

• scientific article; zbMATH DE number 2130220 (Why is no real title available?)
• scientific article; zbMATH DE number 1836443 (Why is no real title available?)
• Application of Threshold-Accepting to the Evaluation of the Discrepancy of a Set of Points
• Applications of optimization heuristics to estimation and modelling problems
• Bootstrap methods: another look at the jackknife
• Coherent measures of risk
• Distributed optimisation of a portfolio's omega
• On the convergence of ``threshold accepting
• Optimization heuristics in econometrics. Applications of threshold accepting
• Optimizing Omega
• Portfolio construction and risk budgeting
• Portfolio management with heuristic optimization.
• Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing

Cited in

(7)

• On the robustness of portfolio allocation under copula misspecification
• Portfolio allocation using omega function: an empirical analysis
• Heuristic optimisation in financial modelling
• Portfolio performance measurement using differential evolution
• Linear programming models based on omega ratio for the enhanced index tracking problem
• First passage times in portfolio optimization: a novel nonparametric approach
• Distributed optimisation of a portfolio's omega

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