A portfolio optimization model with three objectives and discrete variables
From MaRDI portal
Publication:2655644
Recommendations
- Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- An MCDM approach to portfolio optimization.
- An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity
- Portfolio construction on the Athens stock exchange: a multiobjective optimization approach
Cites work
- A novel hybrid model for portfolio selection
- An MCDM approach to portfolio optimization.
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Evolutionary Algorithms for Solving Multi-Objective Problems
- Heuristics for cardinality constrained portfolio optimization
- scientific article; zbMATH DE number 4108183 (Why is no real title available?)
- Local search techniques for constrained portfolio selection problems
- Mean-risk models using two risk measures: a multi-objective approach
- 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.
- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- The relevance of MCDM for financial decisions
Cited in
(42)- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- A multi-stage multi criteria model for portfolio management
- Multiobjective efficient portfolio selection with bounded parameters
- Index tracking model, downside risk and non-parametric kernel estimation
- A PROMETHEE-based approach to portfolio selection problems
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
- SeaPearl: a constraint programming solver guided by reinforcement learning
- Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
- Analyzing the performance of a two-tail-measures-utility multi-objective portfolio optimization model
- Pruning Pareto optimal solutions for multi-objective portfolio asset management
- Heuristic algorithms for the cardinality constrained efficient frontier
- Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result
- A new method for mean-variance portfolio optimization with cardinality constraints
- A multi-objective approach for weapon selection and planning problems in dynamic environments
- Solving cardinality constrained mean-variance portfolio problems via MILP
- An iterative method for solving a bi-objective constrained portfolio optimization problem
- Some new results on value ranges of risks for mean-variance portfolio models
- Mean-chance model for portfolio selection based on uncertain measure
- Twenty years of linear programming based portfolio optimization
- 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization
- An evolutionary sequential sampling algorithm for multi-objective optimization
- A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
- Evolutionary computation for modelling and optimization in finance
- Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
- Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
- An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models
- A multiple objective stochastic portfolio selection problem with random beta
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- Portfolio selection: should investors include crypto‐assets? A multiobjective approach
- A unifying framework for sparsity-constrained optimization
- Adaptive evolutionary algorithms for portfolio selection problems
- Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
- Pricing European options and portfolio optimization under the sub-mixed fractional Brownian motion model
- Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
This page was built for publication: A portfolio optimization model with three objectives and discrete variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2655644)
