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An Evolutionary Optimization Approach to Risk Parity Portfolio Selection (2014)
| Content Provider | CiteSeerX |
|---|---|
| Author | Hochreiter, Ronald |
| Abstract | In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the optimization problem becomes non-trivial in the long-short case. To solve this problem, we propose a genetic algorithm as well as a local search heuristic. This algorithmic framework is able to compute solutions successfully. Numerical results using real-world data substantiate the practicability of the approach presented in this paper. 1 |
| File Format | |
| Publisher Date | 2014-01-01 |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |