Titlebook: Computational Methods in Decision-Making, Economics and Finance; Erricos John Kontoghiorghes,Berc Rustem,Stavros Si Book 2002 Springer Sci

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https://doi.org/10.1007/b100751 in the portfolio are introduced. In such situations classical optimization methods fail to work efficiently and heuristic optimization techniques can be the only way out. This contribution shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

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https://doi.org/10.1007/b100751els of a preference for robustness. For these cases, recent results by Trojani and Vanini can be used to obtain a perturbative solution to the Bellman equation of the relevant benchmark model and to give some formal conditions under which the perturbative solution converges to the correct one.

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