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Multiobjective evolutionary algorithms for complex portfolio optimization problems

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  • Konstantinos Anagnostopoulos

    ()

  • Georgios Mamanis

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10287-009-0113-8
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    Bibliographic Info

    Article provided by Springer in its journal Computational Management Science.

    Volume (Year): 8 (2011)
    Issue (Month): 3 (August)
    Pages: 259-279

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    Handle: RePEc:spr:comgts:v:8:y:2011:i:3:p:259-279

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    Web page: http://www.springerlink.com/link.asp?id=111894

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    Related research

    Keywords: Multiobjective optimization; NSGA-II; PESA; Portfolio selection; SPEA2;

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    References

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    1. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
    2. Branke, J. & Scheckenbach, B. & Stein, M. & Deb, K. & Schmeck, H., 2009. "Portfolio optimization with an envelope-based multi-objective evolutionary algorithm," European Journal of Operational Research, Elsevier, vol. 199(3), pages 684-693, December.
    3. Manfred Gilli & Evis Këllezi & Hilda Hysi, . "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Swiss Finance Institute Research Paper Series 06-02, Swiss Finance Institute.
    4. Lin, Chang-Chun & Liu, Yi-Ting, 2008. "Genetic algorithms for portfolio selection problems with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 185(1), pages 393-404, February.
    5. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    6. N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
    7. Benati, Stefano & Rizzi, Romeo, 2007. "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem," European Journal of Operational Research, Elsevier, vol. 176(1), pages 423-434, January.
    8. Crama, Y. & Schyns, M., 2003. "Simulated annealing for complex portfolio selection problems," European Journal of Operational Research, Elsevier, vol. 150(3), pages 546-571, November.
    9. Schaerf, Andrea, 2002. "Local Search Techniques for Constrained Portfolio Selection Problems," Computational Economics, Society for Computational Economics, vol. 20(3), pages 177-90, December.
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