Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
From MaRDI portal
Recommendations
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- A portfolio optimization model with three objectives and discrete variables
- Mean-VaR portfolio optimization: a nonparametric approach
- 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization
- Multi-swarm multi-objective optimizer based on \(p\)-optimality criteria for multi-objective portfolio management
Cites work
- scientific article; zbMATH DE number 41105 (Why is no real title available?)
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- scientific article; zbMATH DE number 2046100 (Why is no real title available?)
- A genetic algorithm for portfolio selection problems.
- A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios
- An MCDM approach to portfolio optimization.
- Applications of Multi-Objective Evolutionary Algorithms
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Computational study of a family of mixed-integer quadratic programming problems
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Heuristics for cardinality constrained portfolio optimization
- Introduction to evolutionary computing
- Local search techniques for constrained portfolio selection problems
- Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
- Multi-objective optimization using evolutionary algorithms
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
- Simulated annealing for complex portfolio selection problems.
Cited in
(32)- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- Adaptive evolutionary algorithms for portfolio selection problems
- 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization
- Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
- A portfolio optimization model with three objectives and discrete variables
- Semidefinite relaxations for non-convex quadratic mixed-integer programming
- Portfolio optimization using Laplacian biogeography based optimization
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
- Portfolio rebalancing model using multiple criteria
- Market risk management in a post-Basel II regulatory environment
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
- A fuzzy interactive approach for optimal portfolio management
- Multiobjective efficient portfolio selection with bounded parameters
- scientific article; zbMATH DE number 2086444 (Why is no real title available?)
- Multi-objective portfolio optimization considering the dependence structure of asset returns
- Network models to improve robot advisory portfolios
- A multi-objective approach for weapon selection and planning problems in dynamic environments
- Incorporating environmental and social considerations into the portfolio optimization process
- A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- Heuristic algorithms for the cardinality constrained efficient frontier
- A new method for mean-variance portfolio optimization with cardinality constraints
- Credit portfolio management using two-level particle swarm optimization
- Benchmarking the performance of portfolio optimization with QAOA
- Solving Portfolio Optimization Problems Using MOEA/D and Lévy Flight
- Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- A dynamic programming approach to constrained portfolios
This page was built for publication: Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1042208)
