On different aspects of portfolio optimization

DOI10.1016/J.AMC.2005.07.045MaRDI QIDQ2369188zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 28 April 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.07.045

zbMATH Keywords

stochastic effectsdynamical re-balancing

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Evolutionary games (91A22)

Recommendations

• Portfolio decisions as games
• Game-Theoretic Optimal Portfolios
• Evolutionary stability of portfolio rules in incomplete markets
• On nontraditional problems of portfolio management
• Globally evolutionarily stable portfolio rules

Cites work

• A tool to convert continuous multiobjective optimisation test problems into combinatorial ones
• Evolution, population growth, and history dependence
• Evolutionary stability of portfolio rules in incomplete markets
• Market selection and survival of investment strategies
• Multicriteria Optimization
• SATO–CRUTCHFIELD FORMULATION FOR SOME EVOLUTIONARY GAMES

Cited in

(3)

• On analyzing and detecting multiple optima of portfolio optimization
• Information pooling game in multi-portfolio optimization
• Optimising portfolio diversification and dimensionality

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