Solving Portfolio Optimization Problems Using MOEA/D and Lévy Flight

DOI10.1142/S2424922X20500059MaRDI QIDQ5066669zbMATH OpenOpenAlexFDO

Authors Yifan He, Claus Aranha

Publication date 29 March 2022

Published in Advances in Data Science and Adaptive Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s2424922x20500059

zbMATH Keywords

portfolio optimizationMOEA/DLévy flight

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
• Computational study of a family of mixed-integer quadratic programming problems
• Heuristics for cardinality constrained portfolio optimization
• Multi-objective optimization using evolutionary algorithms
• Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

Cited in

(1)

• Portfolio optimization using Laplacian biogeography based optimization

Describes a project that uses

Uses Software

• JADE

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