Optimal portfolio selection by CVAR based Sharpe ratio -- genetic algorithm approach

zbMATH Open1151.91526MaRDI QIDQ5437155FDOQ5437155

Authors: Shan Lin, Masamitsu Ohnishi 

Publication date: 18 January 2008

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Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Cited In (6)

• Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization.
• Portfolio performance measurement using differential evolution
• Title not available (Why is that?)
• A convex-risk-measure based model and genetic algorithm for portfolio selection
• Using a genetic algorithm-based RAROC model for the performance and persistence of the funds
• A note on optimal portfolio corresponding to the CVaR ratio

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