A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures
Publication:6149571
DOI10.1007/s10287-023-00483-xOpenAlexW4388499113MaRDI QIDQ6149571
Gabriele Sbaiz, Massimiliano Kaucic, Filippo Piccotto
Publication date: 6 February 2024
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-023-00483-x
large-scale optimizationSharpe ratiohybrid constraint-handlingdynamic level-based learning swarm optimizermulti-moment portfolio management
Evolutionary algorithms, genetic algorithms (computational aspects) (68W50) Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Operations research and management science (90Bxx)
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