Alentorn, Amadeo, Moraglio, Alberto (2010) Heuristic Portfolio Optimisation for a Hedge Fund Strategy using the Geometric Nelder-Mead Algorithm. In: 2010 UK Workshop on Computational Intelligence (UKCI 2010). . ISBN 978-1-4244-8774-5. (KAR id:71013)
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Abstract
This paper presents a framework for heuristic portfolio optimisation applied to a hedge fund investment strategy. The first contribution of the paper is to present a framework for implementing portfolio optimisation of a market neutral hedge fund strategy. The paper also illustrates the application of the recently developed Geometric Nelder-Mead Algorithm (GNMA) in solving this real world optimization problem, compared with a Genetic Algorithm (GA) approach.
| Item Type: | Conference or workshop item (Paper) |
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| Subjects: |
H Social Sciences > HB Economic Theory Q Science > QA Mathematics (inc Computing science) > QA 76 Software, computer programming, |
| Institutional Unit: | Schools > School of Computing |
| Former Institutional Unit: |
Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Computing
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| Depositing User: | Colin Johnson |
| Date Deposited: | 13 Dec 2018 16:33 UTC |
| Last Modified: | 20 May 2025 10:23 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/71013 (The current URI for this page, for reference purposes) |
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