PA.bib

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@ARTICLE{Ardia2010,
  author = {Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine
	and Peterson, Brian},
  title = {Differential evolution (DEoptim) for non-convex portfolio optimization},
  journal = {Mimeo},
  year = {2010},
  owner = {Administrator},
  timestamp = {2010.05.30}
}

@MANUAL{DEoptim,
  title = {{DEoptim}: Differential Evolution Optimization in {R}},
  author = {Ardia, David and Mullen, Katharine},
  year = {2009},
  note = {R package version 2.00-04},
  url = {https://CRAN.R-project.org/package=DEoptim}
}

@ARTICLE{Bollerslev90,
  author = {Bollerslev, T.},
  title = {Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate
	Generalized {ARCH} Model},
  journal = {Review of Economics and Statistics},
  year = {1990},
  volume = {72},
  pages = {498-505},
  owner = {Administrator},
  timestamp = {2010.06.14}
}

@MISC{BoudtCarlPeterson2010,
  author = {Boudt, Kris and Carl, Peter and Peterson, Brian G.},
  title = {Portfolio Optimization with Conditional Value-at-Risk Budgets},
  month = jan,
  year = {2010},
  owner = {ardiad},
  timestamp = {2010.02.09}
}


@MISC{PortfolioAnalytics,
  author = {Kris Boudt and Peter Carl and Brian G. Peterson},
  title = {{PortfolioAnalytics}: Portfolio Analysis, including numeric methods
	for optimization of portfolios},
  year = {2012},
  note = {R package version 0.8.2-1.1.0},
  owner = {brian},
  timestamp = {2012.09.01},
  url = {https://github.com/braverock/PortfolioAnalytics}
}
@INPROCEEDINGS{BoudtPetersonCarl2008,
  author = {Boudt, Kris and Peterson, Brian G and Carl, Peter},
  title = {Hedge Fund Portfolio Selection with Modified Expected Shortfall},
  booktitle = {Computational Finance and its Applications III},
  year = {2008},
  editor = {Brebbia, C. and Constantino, M. and Larran, M.},
  series = {WIT Transactions on Modelling and Simulation},
  publisher = {WIT, Southampton},
  owner = {Administrator},
  timestamp = {2010.02.01}
}

@ARTICLE{Boudt2008,
  author = {Boudt, Kris and Peterson, Brian G. and Croux, Christophe},
  title = {Estimation and Decomposition of Downside Risk for Portfolios with
	Non-Normal Returns},
  journal = {Journal of Risk},
  year = {2008},
  volume = {11},
  pages = {79-103},
  number = {2},
  keywords = {Value at Risk, VaR, Component Value at Risk, Expected Shortfall, ES,
	Conditional Value at Risk, CVaR, risk contribution, portfolio allocation,
	Cornish-Fisher expansion, Edgeworth expansion},
  owner = {brian},
  timestamp = {2007.09.12}
}

@ARTICLE{Burns2010,
  author = {Burns},
  title = {http://www.burns-stat.com/pages/Finance/random_portfolios.html},
  owner = {Administrator},
  timestamp = {2010.05.30}
}

@ARTICLE{BornerHigginsKantelhardtScheiter2007,
  author = {B{\"{o}}rner, Jan and Higgins, Steven I. and Kantelhardt, Jochen
	and Scheiter, Simon},
  title = {Rainfall or Price Variability: What Determines Rangeland Management
	Decisions? A Simulation-Optimization Approach to {S}outh {A}frican
	Savanas},
  journal = {Agricultural Economics},
  year = {2007},
  volume = {37},
  pages = {189-200},
  number = {2--3},
  month = sep # {--} # nov,
  doi = {10.1111/j.1574-0862.2007.00265.x},
  owner = {ardiad},
  timestamp = {2009.12.03}
}

@ARTICLE{CaoVilarDevia2009,
  author = {Cao, Ricardo and Vilar, Juan M. and Devia, Andres},
  title = {Modelling Consumer Credit Risk via Survival Analysis},
  journal = {Statistics \& Operations Research Transactions},
  year = {2009},
  volume = {33},
  pages = {3-30},
  number = {1},
  month = jan # {-} # jun,
  owner = {ardiad},
  timestamp = {2009.12.03}
}

@MISC{Carl2007,
  author = {Peter Carl and Brian G. Peterson},
  title = {{PerformanceAnalytics}: Econometric Tools for Performance and Risk
	Analysis in {R}},
  year = {2009},
  note = {R package version 1.0.0-1.5.2},
  owner = {brian},
  timestamp = {2008.02.01},
  url = {https://github.com/braverock/PerformanceAnalytics}
}

@MISC{CarlPetersonBoudt2010,
  author = {Carl, Peter and Peterson, Brian G. and Boudt, Kris},
  title = {Business Objectives and Complex Portfolio Optimization},
  howpublished = {Presentation at R/Finance 2010. Available at: \url{http://www.rinfinance.com/agenda/2010/Carl+Peterson+Boudt_Tutorial.pdf}},
  year = {2010},
  owner = {ardiad},
  timestamp = {2010.02.09}
}

@MANUAL{foreach,
  title = {foreach: Foreach looping construct for R},
  author = {REvolution Computing},
  year = {2009},
  note = {R package version 1.3.0},
  url = {https://CRAN.R-project.org/package=foreach}
}

@ARTICLE{Cornish1937,
  author = {Cornish, Edmund A. and Fisher, Ronald A.},
  title = {Moments and Cumulants in the Specification of Distributions},
  journal = {Revue de l'Institut International de Statistique},
  year = {1937},
  volume = {5},
  pages = {307-320},
  number = {4},
  owner = {brian},
  timestamp = {2007.08.19}
}

@ARTICLE{Favre2002,
  author = {Favre, Laurent and Galeano, Jose-Antonio},
  title = {Mean-Modified Value-at-Risk Optimization with Hedge Funds},
  journal = {Journal of Alternative Investment},
  year = {2002},
  volume = {5},
  pages = {2-21},
  number = {2},
  owner = {brian},
  timestamp = {2007.07.25}
}

@INCOLLECTION{GilliMaringerWinker2008,
  author = {Gilli, Manfred and Maringer, Dietmar G. and Winker, Peter},
  title = {Applications of Heuristics in Finance},
  booktitle = {Handbook on Information Technology in Finance},
  publisher = {Springer-Verlag},
  year = {2008},
  editor = {Schlottmann, D. and Weinhardt, C. and Schlottmann, F.},
  chapter = {26},
  address = {Berlin, Heidelberg},
  owner = {ardiad},
  timestamp = {2010.02.07}
}

@MISC{GilliSchumann2009,
  author = {Gilli, Mandfred and Schumann, Enrico},
  title = {Heuristic Optimisation in Financial Modelling},
  howpublished = {COMISEF wps-007 09/02/2009},
  year = {2009},
  owner = {ardiad},
  timestamp = {2010.02.07}
}

@MISC{GilliWinker2008,
  author = {Gilli, Mandfred and Winker, Peter},
  title = {A Review of Heuristic Optimization Methods in Econometrics},
  howpublished = {Swiss Institute Research paper series 08-12},
  month = dec,
  year = {2008},
  owner = {ardiad},
  timestamp = {2010.02.07}
}

@ARTICLE{HigginsKantelhardtScheiterBoerner2007,
  author = {Higgins, Steven I. and Kantelhardt, Jochen and Scheiter, Simon and
	Boerner, Jan},
  title = {Sustainable Management of Extensively Managed Savanna Rangelands},
  journal = {Ecological Economics},
  year = {2007},
  volume = {62},
  pages = {102-114},
  number = {1},
  month = apr,
  doi = {10.1016/j.ecolecon.2006.05.019},
  owner = {ardiad},
  timestamp = {2009.12.03}
}

@BOOK{Holland1975,
  title = {Adaptation in Natural Artificial Systems},
  publisher = {University of Michigan Press},
  year = {1975},
  author = {Holland, John H.},
  address = {Ann Arbor}
}

@ARTICLE{KrinkMittnikPaterlini2009,
  author = {Krink, Thiemo and Mittnik, Stefan and Paterlini, Sandra},
  title = {Differential Evolution and Combinatorial Search for Constrained Index-Tracking},
  journal = {Annals of Operations Research},
  year = {2009},
  volume = {172},
  pages = {153-176},
  doi = {10.1007/s10479-009-0552-1},
  owner = {ardiad},
  timestamp = {2010.02.05}
}

@ARTICLE{KrinkPaterlini2009,
  author = {Krink, Thiemo and Paterlini, Sandra},
  title = {Multiobjective Optimization using Differential Evolution for Real-World
	Portfolio Optimization},
  journal = {Computational Management Science},
  year = {2009},
  doi = {10.1007/s10287-009-0107-6},
  owner = {ardiad},
  timestamp = {2010.02.05}
}

@MISC{Lampinen2009,
  author = {Lampinen, Jouni A.},
  title = {A Bibliography of Differential Evolution Algorithm},
  year = {2009},
  owner = {ardiad},
  timestamp = {2010.02.05},
  url = {http://www2lutfi/~jlampine/debibliohtm}
}

@INCOLLECTION{Maringer2005,
  author = {Maringer, Dietmar G.},
  title = {Portfolio Management with Heuristic Optimization},
  booktitle = {Advanced in Computational Management Science},
  publisher = {Springer-Verlag},
  year = {2005},
  volume = {8},
  series = {Advances in Computational Management Science},
  chapter = {14},
  owner = {ardiad},
  timestamp = {2010.02.07}
}

@ARTICLE{MaringerMeyer2008,
  author = {Maringer, Dietmar G. and Meyer, Mark},
  title = {Smooth Transition Autoregressive Models. New Approaches to the Model
	Selection Problem},
  journal = {Studies in Nonlinear Dynamics \& Econometrics},
  year = {2008},
  volume = {12},
  pages = {1-19},
  number = {1},
  month = jan,
  note = {Article nr. 5},
  file = {MaringerMeyer_SmoothTransitionAutoregressiveModelsNewApproachesToTheModelSelectionProblem.PDF:MaringerMeyer_SmoothTransitionAutoregressiveModelsNewApproachesToTheModelSelectionProblem.PDF:PDF},
  owner = {ardiad},
  timestamp = {2010.02.07},
  url = {http://www.bepress.com/snde/vol12/iss1/}
}

@ARTICLE{MaringerOyewumi2007,
  author = {Maringer, Dietmar G. and Oyewumi, Olufemi},
  title = {Index Tracking with Constrained Portfolios},
  journal = {Intelligent Systems in Accounting, Finance \& Management},
  year = {2007},
  volume = {15},
  pages = {57-71},
  number = {1--2},
  doi = {10.1002/isaf.285},
  owner = {ardiad},
  timestamp = {2010.02.05}
}

@BOOK{Mitchell1998,
  title = {An Introduction to Genetic Algorithms},
  publisher = {The MIT Press},
  year = {1998},
  author = {Mitchell, Melanie}
}

@MISC{MullenArdiaGilWindoverCline2009,
  author = {Mullen, Katharine M. and Ardia, David and Gil, David L. and Windover,
	Donald and Cline, James},
  title = {{DEoptim}: An {R} Package for Global Optimization by Differential
	Evolution},
  month = dec,
  year = {2009},
  owner = {ardiad},
  timestamp = {2010.02.02}
}

@MASTERSTHESIS{OpsinaArango2009,
  author = {Opsina Arango, Juan David},
  title = {Estimacion de un Modelo de Difusion con Saltos con Distribucion de
	Error Generalizada Asimetrica usando Algorithmos Evolutivos},
  school = {Universidad Nacional de Colombia},
  year = {2009},
  owner = {ardiad},
  timestamp = {2009.12.03}
}

@BOOK{PriceStornLampinen2006,
  title = {Differential Evolution: A Practical Approach to Global Optimization},
  publisher = {Springer-Verlag},
  year = {2006},
  author = {Price, Kenneth V. and Storn, Rainer M. and Lampinen, Jouni A.},
  address = {Berlin, Germany},
  edition = {second},
  month = dec,
  isbn = {3540209506}
}

@MANUAL{xts,
  title = {xts: Extensible Time Series},
  author = {Jeffrey A. Ryan and Josh M. Ulrich},
  year = {2010},
  note = {R package version 0.7-0},
  url = {https://CRAN.R-project.org/package=xts}
}

@ARTICLE{Scaillet2004,
  author = {Scaillet, Olivier},
  title = {Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall},
  journal = {Mathematical Finance},
  year = {2002},
  volume = {14},
  pages = {74-86},
  number = {1},
  owner = {brian},
  timestamp = {2007.10.30}
}

@ARTICLE{StornPrice1997,
  author = {Storn, Rainer and Price, Kenneth},
  title = {Differential Evolution -- A Simple and Efficient Heuristic for Global
	Optimization over Continuous Spaces},
  journal = {Journal of Global Optimization},
  year = {1997},
  volume = {11},
  pages = {341-359},
  number = {4},
  address = {Hingham, MA, USA},
  issn = {0925-5001},
  publisher = {Kluwer Academic Publishers}
}

@ARTICLE{Uryasev1999,
  author = {Uryasev, S. and Rockafellar, R.},
  title = {Optimization of Conditional Value-at-Risk},
  journal = {Journal of Risk},
  year = {2000},
  volume = {2},
  pages = {21-41},
  number = {3},
  owner = {brian},
  timestamp = {2007.07.25}
}

@BOOK{fPortfolioBook,
  title = {Portfolio Optimization with R/Rmetrics},
  publisher = {Rmetrics Association \& Finance Online, www.rmetrics.org},
  year = {2010},
  editor = {Wuertz, Diethelm and Hanf, Martin},
  author = {Wuertz and Diethelm and Chalabi and Yohan and Chen and William and
	Ellis and Andrew},
  month = {April},
  note = {R package version 2110.79}
}

@MANUAL{fPortfolio,
  title = {{fPortfolio}: Portfolio Selection and Optimization in {R}},
  author = {Wuertz, Diethelm and {{R}metrics core team}},
  year = {2009},
  note = {R package version 2100.78},
  owner = {ardiad},
  timestamp = {2010.02.09},
  url = {https://CRAN.R-project.org/package=DEoptim}
}

@CONFERENCE{Yollin2009,
  author = {Yollin, Guy},
  title = {{R} Tools for Portfolio Optimization},
  booktitle = {Presentation at {R}/{F}inance conference 2009},
  year = {2009},
  owner = {Administrator},
  timestamp = {2010.01.31}
}

@ARTICLE{Zangari1996,
  author = {Zangari, Peter},
  title = {A {VaR} Methodology for Portfolios that include Options},
  journal = {RiskMetrics Monitor},
  year = {1996},
  volume = {First Quarter},
  pages = {4-12},
  owner = {brian},
  timestamp = {2007.08.19}
}

@BOOK{Scherer2005,
  title = {Modern Portfolio Optimization},
  publisher = {Springer},
  year = {2005},
  author = {Scherer, Bernd. and Martin, Douglas},
  owner = {brian},
  timestamp = {2007.08.19}
}

@ARTICLE{Boudt2014,
  author = {Boudt, Kris and Lu, Wanbo and Peeters, Benedict},
  title = {Higher Order Comoments of Multifactor Models and Asset Allocation},
  month = {June},
  year = {2014},
  url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2409603}
}

@ARTICLE{Meucci2008,
  author = {Meucci, Attilio},
  title = {Fully Flexible Views: Theory and Practice},
  journal = {Journal of Risk},
  year = {2008},
  volume = {21},
  pages = {97-102},
  number = {10},
  url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1213325}
}

@ARTICLE{MeucciBL2008,
  author = {Meucci, Attilio},
  title = {The Black-Litterman Approach: Original Model and Extensions},
  journal = {Journal of Risk},
  month = {August},
  year = {2008},
  url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1117574}
}

@article{rockafellar2000optimization,
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  author={Rockafellar, R Tyrrell and Uryasev, Stanislav and others},
  journal={Journal of risk},
  volume={2},
  pages={21--42},
  year={2000},
  publisher={Citeseer}
}

@article{krokhmal2007higher,
  title={Higher moment coherent risk measures},
  author={Krokhmal, Pavlo A},
  year={2007},
  publisher={Taylor \& Francis}
}

@article{cornuejols2018optimization,
  title={Optimization Methods in Finance second edition},
  author={Cornuejols, Gerard and Pena, Javier and Tutuncu, Reha},
  year={2018},
  publisher={Cambridge University Press}
}