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Heuristic Portfolio Optimisation for a Hedge Fund Strategy using the Geometric Nelder-Mead Algorithm

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.

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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)
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics (inc Computing science) > QA 76 Software, computer programming,
Divisions: Faculties > Sciences > School of Computing
Depositing User: Colin Johnson
Date Deposited: 13 Dec 2018 16:33 UTC
Last Modified: 30 May 2019 08:34 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/71013 (The current URI for this page, for reference purposes)
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