Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Filippo Piccotto"'
Publikováno v:
Journal of Applied Finance & Banking.
In the last five years, extreme events such as the COVID-19 pandemic and the Ukrainian crisis have highlighted the importance of corporate social responsibility and sustainable principles. Consequently, the investment process is changing toward more
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5eb307fbbce80a739c53000b56d483f7
https://doi.org/10.47260/jafb/1344
https://doi.org/10.47260/jafb/1344
We study large-scale portfolio optimization problems in which the aim is to maximize a multi-moment performance measure extending the Sharpe ratio. More specifically, we consider the adjusted for skewness Sharpe ratio, which incorporates the third mo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d1a2c76211c896ad6f7025821cc2cf18
https://doi.org/10.21203/rs.3.rs-2345941/v1
https://doi.org/10.21203/rs.3.rs-2345941/v1
Autor:
Massimiliano Kaucic, Filippo Piccotto
This paper proposes a variant of the dynamic level-based learning swarm optimizer algorithm for solving large-scale constrained portfolio optimization problems. More specifically, we aim to maximize the inner rate of risk aversion, a recently propose
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::07eaf918c00d08bf173398aed3febf63
https://hdl.handle.net/11368/3029718
https://hdl.handle.net/11368/3029718
In this work, we propose a hybrid variant of the level-based learning swarm optimizer (LLSO) for solving large-scale portfolio optimization problems. Our goal is to maximize a modified formulation of the Sharpe ratio subject to cardinality, box and b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6a9bd018b0e903e2f96d120e0e64c8cf