Output details

Global optimization of higher order moments in portfolio selection

<13>This is the first paper to propose a scalable global optimisation algorithm for the construction of efficient frontiers with high order moments in non convex portfolio models. In computational studies performed in this and subsequent papers the method was shown to outperform the leading methods in the area. Based on the results from this paper the method has been further developed and applied to problems from chemical engineering (http://link.springer.com/article/10.1007%2Fs10898-007-9244-z). The paper was presented in a plenary talk in the Computational Management Science conference in the University of Geneva, May 2009.