Hilda Hysi

University of Geneva - Department of Econometrics

102 Bd Carl Vogt

Geneva 4, 1211

Switzerland

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Swiss Finance Institute Research Paper No. 06-2
Number of pages: 22 Posted: 21 Jun 2006
Manfred Gilli, Evis Këllezi and Hilda Hysi
Geneva School of Economics and Management (GSEM), Mirabaud & Cie and University of Geneva - Department of Econometrics
Downloads 1,014 (15,535)
Citation 7

Abstract:

Portfolio optimization, Heuristic optimization, Threshold accepting, Downside risk

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Journal of Risk, Vol. 8, No. 3, Spring 2006
Posted: 11 May 2006
Manfred Gilli, Evis Këllezi and Hilda Hysi
Geneva School of Economics and Management (GSEM), Mirabaud & Cie and University of Geneva - Department of Econometrics

Abstract:

value-at-risk, VAR, expected shortfall, maximum loss, Omega function, multipurpose data-driven optimization heuristic, shortfall, maximum loss, Omega function