Multi-objective portfolio optimization considering the dependence structure of asset returns

DOI10.1016/J.EJOR.2015.01.025zbMath1346.91197OpenAlexW1967324630MaRDI QIDQ319400

Edris Babaei, Mohammad Mehdi Sepehri, Sadra Babaei

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.01.025

zbMATH Keywords

metaheuristicsportfolio optimizationstable distributioncopula functionmulti-objective particle swarm optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (8)

Multiobjective efficient portfolio selection with bounded parameters ⋮ Modeling international trade data with the Tweedie distribution for anti-fraud and policy support ⋮ A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances ⋮ Risk parity for mixed tempered stable distributed sources of risk ⋮ Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection ⋮ A value-at-risk approach to optimisation of warranty policy ⋮ \(p\)-optimality-based multiobjective root system growth algorithms for multiobjective applications ⋮ Multi-swarm multi-objective optimizer based on \(p\)-optimality criteria for multi-objective portfolio management

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