Optimal portfolio selection by CVAR based Sharpe ratio -- genetic algorithm approach

zbMATH Open1151.91526MaRDI QIDQ5437155FDOQ5437155

Authors: Shan Lin, Masamitsu Ohnishi 

Publication date: 18 January 2008

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Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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