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dc.contributor.author | Baixauli-Soler, J. Samuel | es_ES |
dc.contributor.author | Alfaro Cid, Eva | es_ES |
dc.contributor.author | Fernandez-Blanco, Matilde O. | es_ES |
dc.date.accessioned | 2014-01-10T07:46:37Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 1135-2523 | |
dc.identifier.uri | http://hdl.handle.net/10251/34842 | |
dc.description.abstract | 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. | es_ES |
dc.language | Inglés | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation.ispartof | Investigaciones Europeas de Direccion y Economia de la Empresa | es_ES |
dc.rights | Reconocimiento - No comercial - Sin obra derivada (by-nc-nd) | es_ES |
dc.subject | Efficient portfolio | es_ES |
dc.subject | Genetic algorithm | es_ES |
dc.subject | Value¿at¿Risk | es_ES |
dc.subject.classification | LENGUAJES Y SISTEMAS INFORMATICOS | es_ES |
dc.title | A naïve approach to speed up portfolio optimization problem using a multiobjective genetic algorithm | es_ES |
dc.title.alternative | Una aproximación ingenua para acelerar el programa de optimización de carteras usando un algoritmo genético multiobjetivo | |
dc.type | Artículo | es_ES |
dc.embargo.lift | 10000-01-01 | |
dc.embargo.terms | forever | es_ES |
dc.identifier.doi | 10.1016/S1135-2523(12)70002-3 | |
dc.rights.accessRights | Abierto | es_ES |
dc.contributor.affiliation | Universitat Politècnica de València. Instituto Universitario Mixto Tecnológico de Informática - Institut Universitari Mixt Tecnològic d'Informàtica | es_ES |
dc.description.bibliographicCitation | Baixauli-Soler, JS.; Alfaro Cid, E.; Fernandez-Blanco, MO. (2012). A naïve approach to speed up portfolio optimization problem using a multiobjective genetic algorithm. Investigaciones Europeas de Direccion y Economia de la Empresa. 18:126-131. doi:10.1016/S1135-2523(12)70002-3 | es_ES |
dc.description.accrualMethod | S | es_ES |
dc.relation.publisherversion | https://doi.org/10.1016/S1135-2523(12)70002-3 | |
dc.description.upvformatpinicio | 126 | es_ES |
dc.description.upvformatpfin | 131 | es_ES |
dc.type.version | info:eu-repo/semantics/publishedVersion | es_ES |
dc.description.volume | 18 | es_ES |
dc.relation.senia | 239937 |