Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem (Q1730618): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem	scientific article

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instance of

scholarly article

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title

Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem (English)

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published in

Annals of Operations Research

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publication date

6 March 2019

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zbMATH Keywords

information

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fuzzy systems

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portfolio optimization

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evolutionary algorithms

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cites work

Omni-optimizer

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Robust multiperiod portfolio management in the presence of transaction costs

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Note—Naive Diversification and Portfolio Risk—A Note

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Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier

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On possibilistic mean value and variance of fuzzy numbers

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Linear vs. quadratic portfolio selection models with hard real-world constraints

0 references

Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem

0 references

Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control

0 references

Efficiency evaluation of fuzzy portfolio in different risk measures via DEA

0 references

A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs

0 references

Omni-optimizer: a generic evolutionary algorithm for single and multi-objective optimization

0 references

Portfolio optimization when risk factors are conditionally varying and heavy tailed

0 references

Robust portfolios: contributions from operations research and finance

0 references

A stochastic programming approach for multi-period portfolio optimization

0 references

Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

0 references

Fuzzy portfolio optimization. Advances in hybrid multi-criteria methodologies

0 references

Expected value multiobjective portfolio rebalancing model with fuzzy parameters

0 references

Minimax mean-variance models for fuzzy portfolio selection

0 references

Risk preference modeling with conditional average: An application to portfolio optimization

0 references

Portfolio optimization with a copula-based extension of conditional value-at-risk

0 references

Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

0 references

An expected regret minimization portfolio selection model

0 references

A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem

0 references

Fuzzy portfolio optimization model under real constraints

0 references

Fuzzy multi-period portfolio selection optimization models using multiple criteria

0 references

Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels

0 references

Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection

0 references

Stochastic Network Programming for Financial Planning Problems

0 references

Intertemporal surplus management

0 references

The possibilistic moments of fuzzy numbers and their applications

0 references

Fuzzy portfolio optimization under downside risk measures

0 references

Multi-period mean-variance portfolio selection with fixed and proportional transaction costs

0 references

Fuzzy sets as a basis for a theory of possibility

0 references

Q5445734

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Dynamic models for fixed-income portfolio management under uncertainty

0 references

Mean-absolute deviation portfolio optimization for mortgage-backed securities

0 references

A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs

0 references

Portfolio selection under possibilistic mean-variance utility and a SMO algorithm

0 references

Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

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describes a project that uses

Omni-optimizer

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MOEA/D

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author

Konstantinos Liagkouras

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Konstantinos Metaxiotis

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10479-018-2876-1

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Identifiers

zbMATH Open document ID

1419.91587

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Mathematics Subject Classification ID

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0 references

0 references

0 references

0 references

10.1007/S10479-018-2876-1

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Sitelinks

Mathematics(1 entry)

mardi Publication:1730618

@@ Property / DOI @@
-.1007/s10479-018-2876-1
@@ Property / DOI: 10.1007/s10479-018-2876-1 / rank @@
-Normal rank
@@ Property / cites work @@
+Robust multiperiod portfolio management in the presence of transaction costs
+Normal rank
@@ Property / cites work @@
+Note—Naive Diversification and Portfolio Risk—A Note
+Normal rank
@@ Property / cites work @@
+Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier
+Normal rank
@@ Property / cites work @@
+On possibilistic mean value and variance of fuzzy numbers
+Normal rank
@@ Property / cites work @@
+Linear vs. quadratic portfolio selection models with hard real-world constraints
+Normal rank
@@ Property / cites work @@
+Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
+Normal rank
@@ Property / cites work @@
+Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
+Normal rank
@@ Property / cites work @@
+Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
+Normal rank
@@ Property / cites work @@
+A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
+Normal rank
@@ Property / cites work @@
+Omni-optimizer: a generic evolutionary algorithm for single and multi-objective optimization
+Normal rank
@@ Property / cites work @@
+Portfolio optimization when risk factors are conditionally varying and heavy tailed
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+A stochastic programming approach for multi-period portfolio optimization
+Normal rank
@@ Property / cites work @@
+Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
+Normal rank
@@ Property / cites work @@
+Fuzzy portfolio optimization. Advances in hybrid multi-criteria methodologies
+Normal rank
@@ Property / cites work @@
+Expected value multiobjective portfolio rebalancing model with fuzzy parameters
+Normal rank
@@ Property / cites work @@
+Minimax mean-variance models for fuzzy portfolio selection
+Normal rank
@@ Property / cites work @@
+Risk preference modeling with conditional average: An application to portfolio optimization
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a copula-based extension of conditional value-at-risk
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+An expected regret minimization portfolio selection model
+Normal rank
@@ Property / cites work @@
+A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
+Normal rank
@@ Property / cites work @@
+Fuzzy portfolio optimization model under real constraints
+Normal rank
@@ Property / cites work @@
+Fuzzy multi-period portfolio selection optimization models using multiple criteria
+Normal rank
@@ Property / cites work @@
+Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
+Normal rank
@@ Property / cites work @@
+Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection
+Normal rank
@@ Property / cites work @@
+Stochastic Network Programming for Financial Planning Problems
+Normal rank
@@ Property / cites work @@
+Intertemporal surplus management
@@ Property / cites work: Intertemporal surplus management / rank @@
+Normal rank
@@ Property / cites work @@
+The possibilistic moments of fuzzy numbers and their applications
+Normal rank
@@ Property / cites work @@
+Fuzzy portfolio optimization under downside risk measures
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Fuzzy sets as a basis for a theory of possibility
@@ Property / cites work: Fuzzy sets as a basis for a theory of possibility / rank @@
+Normal rank
@@ Property / cites work @@
+Q5445734
@@ Property / cites work: Q5445734 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic models for fixed-income portfolio management under uncertainty
+Normal rank
@@ Property / cites work @@
+Mean-absolute deviation portfolio optimization for mortgage-backed securities
+Normal rank
@@ Property / cites work @@
+A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
+Normal rank
@@ Property / cites work @@
+Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank
@@ Property / Wikidata QID @@
+Q129858780
@@ Property / Wikidata QID: Q129858780 / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S10479-018-2876-1
@@ Property / DOI: 10.1007/S10479-018-2876-1 / rank @@
+Normal rank