Improving portfolio efficiency: a genetic algorithm approach

DOI10.1007/s10614-006-9021-yzbMath1184.91196OpenAlexW2059080269MaRDI QIDQ2509059

Xiaolou Yang

Publication date: 16 October 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9021-y

zbMATH Keywords

genetic algorithmmean-variance analysisestimation risk

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (8)

Coupling a memetic algorithm to simulation models for promising multi-period asset allocations ⋮ Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions ⋮ Mean-VaR portfolio selection under real constraints ⋮ Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm ⋮ A fuzzy interactive approach for optimal portfolio management ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ A multi-stage stochastic integer programming approach for locating electric vehicle charging stations ⋮ Particle swarm optimization approach to portfolio optimization

Uses Software

• Genocop

Cites Work

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• Strategic financial risk management and operations research
• Deception, dominance and implicit parallelism in genetic search.
• Local search techniques for constrained portfolio selection problems

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