Title :
Heuristic portfolio optimisation for a hedge fund strategy using the Geometric Nelder-Mead Algorithm
Author :
Alentorn, Amadeo ; Moraglio, Alberto ; Johnson, Colin
Author_Institution :
Old Mutual Asset Manage. (UK) Ltd., London, UK
Abstract :
This paper presents a framework for heuristic portfolio optimisation applied to a hedge fund investment strategy. The first contribution of the paper is to present a framework for implementing portfolio optimisation of a market neutral hedge fund strategy. The paper also illustrates the application of the recently developed Geometric Nelder-Mead Algorithm (GNMA) in solving this real world optimization problem, compared with a Genetic Algorithm (GA) approach.
Keywords :
geometry; investment; optimisation; genetic algorithm; geometric Nelder-Mead algorithm; hedge fund investment; heuristic portfolio optimisation; market neutral hedge fund strategy; Books; Gallium; Heuristic algorithms; Investments; Optimization; Portfolios; Predictive models;
Conference_Titel :
Computational Intelligence (UKCI), 2010 UK Workshop on
Conference_Location :
Colchester
Print_ISBN :
978-1-4244-8774-5
Electronic_ISBN :
978-1-4244-8773-8
DOI :
10.1109/UKCI.2010.5625577
