Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

204 Optimizing Optimization Section 9.3 will detail the optimization technique. Two aspects relevant for prac- tical application ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 205 stable and thus preferable, working with ratios prac ...

206 Optimizing Optimization Cγ−()=−∑ γ #{ } r () rr d rr d d rrd 1 < < (9.4b) where again  and  indicate the tail, and “ ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 207 Quantiles A quantile of the cumulative distribution ...

208 Optimizing Optimization (an estimator for the worst-case return), and Q 100 is the maximum. Of course, for quantiles in the ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 209 9.2.2 The problem summarized Our optimization proble ...

210 Optimizing Optimization 9.3 Threshold accepting 9.3.1 The algorithm TA is a local search method. A local search starts with ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 211 Algorithm 2 Threshold Accepting. 1: initialize n (^) ...

212 Optimizing Optimization “ artifical ” scenarios) improved the performance of portfolios in the out-of- sample period ( Gilli ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 213 new portfolio will be created by a small perturbatio ...

214 Optimizing Optimization then a number of decreasing quantiles of these changes. The procedure is sum- marized in Algorithm 3 ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 215 Many variations are possible. For example, Algorithm ...

216 Optimizing Optimization (for instance, choose it randomly), we are not guaranteed any more to end up in the same solution: o ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 217 Increasing I should lead to better solutions. In par ...

218 Optimizing Optimization 9.5 Diagnostics In this section, we will discuss several potential problems that may occur when impl ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 219 properly. Such constraints may not just limit positi ...

220 Optimizing Optimization As a rule of thumb, the standard deviation of these accepted changes should be of the same order of ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 221 Throughout , we always assumed that we have a model, ...

222 Optimizing Optimization Dueck , G. , & Winker , P. ( 1992 ). New concepts and algorithms for portfolio choice. Applied S ...

Portfolio optimization with “ Threshold Accepting ” : a practical guide 223 Sortino , F. , van der Meer , R. , & Plantinga , ...