Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms

DOI10.3138/INFOR.47.1.23OpenAlexW2108591779MaRDI QIDQ6160191FDOQ6160191

Authors: Le'an Yu, Shouyang Wang, Kin Keung Lai 

Publication date: 9 May 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3138/infor.47.1.23

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zbMATH Keywords

asset allocationgenetic algorithmmean-variance modelmulti-attribute portfolio selectionasset quality evaluation

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

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• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• Investment Strategies under Transaction Costs: The Finite Horizon Case
• A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
• Fuzzy portfolio optimization. Theory and methods
• Neural network-based mean-variance-skewness model for portfolio selection
• Portfolio selection and asset pricing
• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
• A linear programming algorithm for optimal portfolio selection with transaction costs

Cited In (8)

• Multi-Attribute Portfolio Selection: New Perspectives
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Genetic algorithm-based multi-criteria project portfolio selection
• Sectoral portfolio optimization by judicious selection of financial ratios via PCA
• Title not available (Why is that?)
• Title not available (Why is that?)

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