| Autor: |
Baixauli-Soler, J. Samuel, Alfaro-Cid, Eva, Fernández-Blanco, Matilde O. |
| Jazyk: |
English<br />Spanish; Castilian |
| Rok vydání: |
2012 |
| Předmět: |
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| Zdroj: |
Investigaciones Europeas de Dirección y Economía de la Empresa, Vol 18, Iss 2, Pp 126-131 (2012) |
| Druh dokumentu: |
article |
| ISSN: |
1135-2523 |
| DOI: |
10.1016/S1135-2523(12)70002-3 |
| Popis: |
Genetic algorithms (GAs) are appropriate when investors have the objective of obtaining mean‑variance (VaR) efficient frontier as minimising VaR leads to non‑convex and non‑differential risk‑return optimisation problems. However GAs are a time‑consuming optimisation technique. In this paper, we propose to use a naïve approach consisting of using samples split by quartile of risk to obtain complete efficient frontiers in a reasonable computation time. Our results show that using reduced problems which only consider a quartile of the assets allow us to explore the efficient frontier for a large range of risk values. In particular, the third quartile allows us to obtain efficient frontiers from the 1.8% to 2.5% level of VaR quickly, while that of the first quartile of assets is from 1% to 1.3% level of VaR. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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