Portfolio performance measurement using differential evolution

DOI10.1007/S10100-015-0393-8MaRDI QIDQ314615zbMATH OpenOpenAlexFDO

Authors Juraj Pekár, Zuzana Čičková, Ivan Brezina

Publication date 16 September 2016

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-015-0393-8

zbMATH Keywords

differential evolutionomega functionSortino ratio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• CONOPT: A GRG code for large sparse dynamic nonlinear optimization problems
• CONOPT—A Large-Scale GRG Code
• CVaR minimization by the SRA algorithm
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Differential evolution: A handbook for global permutation-based combinatorial optimization. With CD-ROM
• New optimization techniques in engineering.
• Probability maximization models for portfolio selection under ambiguity
• Revisions of modern portfolio theory optimization model
• SOMA for solving the vehicle routing problem with time windows

Cited in

(5)

• Special issue of the Czech society for operations research
• Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model
• Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange
• Benchmarking the performance of portfolio optimization with QAOA
• Portfolio performance benchmarking with data envelopment analysis

Describes a project that uses

Uses Software

• DEoptim
• CONOPT

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