• DocumentCode
    2909876
  • 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
  • fYear
    2010
  • fDate
    8-10 Sept. 2010
  • Firstpage
    1
  • Lastpage
    6
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/UKCI.2010.5625577
  • Filename
    5625577
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2909876