Portfolio performance measurement using differential evolution

DOI10.1007/s10100-015-0393-8zbMath1344.91015OpenAlexW1980264862MaRDI QIDQ314615

Juraj Pekár, Ivan Brezina, Zuzana Čičková

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)

Related Items (3)

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

Uses Software

• CONOPT
• DEoptim

Cites Work

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

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