Download This PaperHeuristic 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
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: 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
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