Heuristic Methods in Finance

The Statistical Computing & Statistical Graphics Newsletter, Vol. 22, pp. 13-19, 2011

7 Pages Posted: 28 Mar 2011 Last revised: 17 Nov 2017

See all articles by Enrico Schumann

Enrico Schumann

Independent

David Ardia

HEC Montreal - Department of Decision Sciences

Date Written: March 24, 2011

Abstract

Heuristic optimization methods and their application to finance are discussed. Two illustrations of these methods are presented: the selection of assets in a portfolio and the estimation of a complicated econometric model.

Keywords: Optimization, Heuristic methods, Local Search, Differential Evolution

JEL Classification: C61, C63, G11

Suggested Citation

Schumann, Enrico and Ardia, David, Heuristic Methods in Finance (March 24, 2011). The Statistical Computing & Statistical Graphics Newsletter, Vol. 22, pp. 13-19, 2011, Available at SSRN: https://ssrn.com/abstract=1794290

Enrico Schumann

Independent ( email )

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

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