DC FieldValueLanguage
dc.contributor.authorLoukeris, Nikolaos-
dc.contributor.authorDonelly, D.-
dc.contributor.authorPeng, Y.-
dc.contributor.authorKhuman, A.-
dc.date.accessioned2024-04-22T10:28:52Z-
dc.date.available2024-04-22T10:28:52Z-
dc.date.issued2009-05-01-
dc.identifierscopus-64849103437-
dc.identifier.issn1866-1505-
dc.identifier.issn1109-2858-
dc.identifier.other64849103437-
dc.identifier.urihttps://uniwacris.uniwa.gr/handle/3000/2195-
dc.description.abstractOptimal portfolio management under only mean and variance/covariance measures in Markowitz (J Finance 7(1):77–91, 1952; J Polit Econ:152–158, 1952) and Tobin (Rev Econ Stud 25:65–86, 1958; Econometrica 26(1):24–36, 1958) framework, is inefficient in real stock markets, as investors do not have quadratic utility functions, and returns are not normally, independently, and identically distributed. Hence alternative forms of utility functions with further higher moments such as the power utility should be used, but these do not provide closed form solutions towards a good feasible portfolio selection. A variety of innovative heuristics have been put forward recently. Hence implementing empirical data, we test and compare different heuristic techniques for portfolio management with power utility as well as contrasting the differences between power utility maximised portfolios and quadratic utility maximised portfolios.en_US
dc.language.isoenen_US
dc.relation.ispartofOperational Researchen_US
dc.subjectEfficient frontieren_US
dc.subjectHeuristicsen_US
dc.subjectPortfolio managementen_US
dc.subjectPower and quadratic utilityen_US
dc.titleA numerical evaluation of meta-heuristic techniques in portfolio optimisationen_US
dc.typeArticleen_US
dc.identifier.doi10.1007/s12351-008-0028-0en_US
dc.identifier.scopus2-s2.0-64849103437-
dcterms.accessRights0en_US
dc.relation.deptDepartment of Business Administrationen_US
dc.relation.facultySchool of Administrative, Economics and Social Sciencesen_US
dc.relation.volume9en_US
dc.relation.issue1en_US
dc.identifier.spage81en_US
dc.identifier.epage103en_US
dc.collaborationUniversity of West Attica (UNIWA)en_US
dc.subject.fieldSocial Sciencesen_US
dc.journalsSubscriptionen_US
dc.publicationPeer Revieweden_US
dc.countryGreeceen_US
local.metadatastatusverifieden_US
item.openairetypeArticle-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.cerifentitytypePublications-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.languageiso639-1en-
crisitem.author.deptDepartment of Business Administration-
crisitem.author.facultySchool of Administrative, Economics and Social Sciences-
crisitem.author.orcid0000-0002-1891-8245-
crisitem.author.parentorgSchool of Administrative, Economics and Social Sciences-
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