{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,14]],"date-time":"2026-01-14T13:31:20Z","timestamp":1768397480309,"version":"3.49.0"},"reference-count":26,"publisher":"Informa UK Limited","license":[{"start":{"date-parts":[[2009,3,29]],"date-time":"2009-03-29T00:00:00Z","timestamp":1238284800000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics and Decision Sciences"],"published-print":{"date-parts":[[2009,3,29]]},"abstract":"<jats:p>This research work investigates the theoretical foundations and computational aspects of constructing optimal bespoke CDO structures. Due to the evolutionary nature of the CDO design process, stochastic search methods that mimic the metaphor of natural biological evolution are applied. For efficient searching the optimal solution, the nondominating sort genetic algorithm (NSGA-II) is used, which places emphasis on moving towards the true Paretooptimal region. This is an essential part of real-world credit structuring problems. The algorithm further demonstrates attractive constraint handling features among others, which is suitable for successfully solving the constrained portfolio optimisation problem. Numerical analysis is conducted on a bespoke CDO collateral portfolio constructed from constituents of the iTraxx Europe IG S5 CDS index. For comparative purposes, the default dependence structure is modelled via Gaussian and Clayton copula assumptions. This research concludes that CDO tranche returns at all levels of risk under the Clayton copula assumption performed better than the sub-optimal Gaussian assumption. It is evident that our research has provided meaningful guidance to CDO traders, for seeking significant improvement of returns over standardised CDOs tranches of similar rating.<\/jats:p>","DOI":"10.1155\/2009\/925169","type":"journal-article","created":{"date-parts":[[2009,3,30]],"date-time":"2009-03-30T19:39:21Z","timestamp":1238441961000},"page":"1-32","source":"Crossref","is-referenced-by-count":1,"title":["Optimal Bespoke CDO Design via NSGA-II"],"prefix":"10.1080","volume":"2009","author":[{"given":"Diresh","family":"Jewan","sequence":"first","affiliation":[{"name":"Department of Statistical Sciences, University of Cape Town, Private Bag, Rhodes' Gift, Rondebosch 7701, Cape Town, South Africa"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Renkuan","family":"Guo","sequence":"additional","affiliation":[{"name":"Department of Statistical Sciences, University of Cape Town, Private Bag, Rhodes' Gift, Rondebosch 7701, Cape Town, South Africa"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Gareth","family":"Witten","sequence":"additional","affiliation":[{"name":"Peregrine Quant, PO Box 44586, Claremont, Cape Town, 7735, South Africa"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"301","reference":[{"key":"31","series-title":"Wiley Finance Series","year":"2006"},{"issue":"2","key":"6","volume":"20","year":"2007","journal-title":"Risk"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1109\/4235.996017"},{"key":"35","first-page":"229","volume":"8","year":"1959","journal-title":"Publications de l'Institut de Statistique de l'Universit\u00e9 de Paris"},{"issue":"1","key":"12","first-page":"69","volume":"12","year":"1999","journal-title":"Risk"},{"issue":"1","key":"14","doi-asserted-by":"crossref","first-page":"59","DOI":"10.21314\/JOR.2003.089","volume":"6","year":"2003","journal-title":"Journal of Risk"},{"key":"17","doi-asserted-by":"publisher","DOI":"10.1016\/S1042-9573(03)00040-8"},{"issue":"3","key":"26","first-page":"82","volume":"15","year":"2002","journal-title":"Risk"},{"issue":"3","key":"30","first-page":"26","volume":"15","year":"2002","journal-title":"Risk"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/65.1.141"},{"issue":"3","key":"27","doi-asserted-by":"crossref","first-page":"414","DOI":"10.1111\/j.2517-6161.1982.tb01222.x","volume":"44","year":"1982","journal-title":"Journal of the Royal Statistical Society. 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