Asset portfolio optimization using support vector machines and real-coded genetic algorithm

DOI10.1007/S10898-011-9692-3MaRDI QIDQ454264zbMATH OpenOpenAlexFDO

Authors Mukesh Kumar Mehlawat, Garima Mittal, Pankaj Gupta

Publication date 1 October 2012

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10898-011-9692-3

zbMATH Keywords

support vector machinesportfolio optimizationreal-coded genetic algorithm

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

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Cites work

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• Asset portfolio optimization using fuzzy mathematical programming
• Asymptotic Behaviors of Support Vector Machines with Gaussian Kernel
• Financial engineering, E-commerce and supply chain
• Mining market data: a network approach
• On the use of optimization models for portfolio selection: A review and some computational results
• Optimal execution of time-constrained portfolio transactions
• Optimal mortgage loan securitization and the subprime crisis
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory

Cited in

(12)

• Multiobjective expected value model for portfolio selection in fuzzy environment
• Portfolio optimization using data analysis techniques
• Expected value multiobjective portfolio rebalancing model with fuzzy parameters
• A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
• Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
• Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms
• scientific article; zbMATH DE number 6161625 (Why is no real title available?)
• A model of portfolio optimization using time adapting genetic network programming
• Using investment portfolio return to combine forecasts: A multiobjective approach
• A hybrid intelligent system of ANFIS and CAPM for stock portfolio optimization
• scientific article; zbMATH DE number 1927184 (Why is no real title available?)
• An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models

Describes a project that uses

Uses Software

• LIBSVM

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