Heuristic portfolio optimisation for a hedge fund strategy using the Geometric Nelder-Mead Algorithm

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.