Vijayalakshmi G A Pai

PSG College of Technology

Coimbatore, TN 641004

India

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Scholarly Papers (1)

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Metaheuristic Construction of Long-Only Risk Budgeted Futures Portfolio with Maximal Diversification Index

Number of pages: 34 Posted: 26 Jun 2015 Last Revised: 29 Jun 2015
Vijayalakshmi G A Pai and Thierry Michel
PSG College of Technology and Lombard Odier & Cie
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Abstract:

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Futures portfolio; Diversification Ratio; Risk Budgeting; Multi-objective Optimization; Differential Evolution