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. (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)
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics (inc Computing science) > QA 76 Software, computer programming,
Divisions:	Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Computing
Depositing User:	Colin Johnson
Date Deposited:	13 Dec 2018 16:33 UTC
Last Modified:	16 Nov 2021 10:25 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/71013 (The current URI for this page, for reference purposes)

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