A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection

DOI10.1007/978-3-319-42902-1_43MaRDI QIDQ4596233zbMATH OpenOpenAlexFDO

Authors Omar Rifki, Hirotaka Ono

Publication date 1 December 2017

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-42902-1_43

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15) Financial applications of other theories (91G80)

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Cited in

(3)

• A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
• A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)
• BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION

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