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Table Of Contents

1 Introduction
2 Heuristic Optimization Techniques
2.1 Trajectory Methods
2.1.1 Simulated Annealing
2.1.2 Threshold Accepting
2.2 Population based Methods
2.2.1 Genetic Algorithms
Algorithm 2 Genetic Algorithms
2.2.2 Differential Evolution
2.3 Hybrid Methods
2.3.1 Hybrid Meta-Heuristics
2.3.2 Other Hybrids
2.4 Technical Details
2.4.1 Constraint Handling Techniques
2.4.2 Calibration Issues
3 Response Surface Analysis for Differential
3.1 Response Surface Analysis
3.2 Implementation Details for Differential Evolution
3.3 Output
4 Heuristics in Finance
4.1 Portfolio Selection
4.1.1 Transaction Costs and integer Constraints
4.1.2 Minimum Transaction Lots
4.1.3 Cardinality versus Diversity
4.1.4 Index Tracking
4.1.5 Downside Risk Measures
4.2 Robust Model Estimation
4.2.1 Nonlinear Model Estimation
4.2.2 Robust Estimation of Financial Models
4.3 Model Selection
4.3.1 Risk Factor Selection
4.3.2 Selection of Bankruptcy Predictors
4.4 Financial Clustering
4.4.1 Credit Risk Assignment
4.4.2 Portfolio Performance Improvement by Clustering
4.4.3 Identification of Mutual Funds Style
5 Conclusions
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Published by Jonatan Lisalde

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Published by: Jonatan Lisalde on Nov 08, 2011
Copyright:Attribution Non-commercial


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