Search results for "Investment criteria"
showing 2 items of 2 documents
Minimising value-at-risk in a portfolio optimisation problem using a multi-objective genetic algorithm
2011
[EN] In this paper, we develop a general framework for market risk optimisation that focuses on VaR. The reason for this choice is the complexity and problems associated with risk return optimisation (non-convex and non-differential objective function). Our purpose is to obtain VaR efficient frontiers using a multi-objective genetic algorithm (GA) and to show the potential utility of the algorithm to obtain efficient portfolios when the risk measure does not allow calculating an optimal solution. Furthermore, we measure differences between VaR efficient frontiers and variance efficient frontiers in VaR-return space and we evaluate out-sample capacity of portfolios on both bullish and bearis…
IS evolution benefit assessment: Challenges with economic investment criteria
2007
Maintenance and system evolution activities have a significant role in the information system (IS) life cycle. It has been estimated that approximately 80% of the total IT expenses are allocated for maintenance activities [20]. According to Lehman’s first law, maintenance is necessary, because software needs to be continuously improved or it will get out of date and cannot respond to the requirements of its environment [19]. Despite the importance of IS evolution investments, there is a gap between the IT related costs and company profitability [27]. Brynjolfssen [10] described this as a productivity paradox: information technology utilization has increased since the 70’s but simultaneously…