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Asset portfolio optimization using support vector machines and real-coded genetic algorithm

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  • Pankaj Gupta

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  • Mukesh Mehlawat
  • Garima Mittal
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10898-011-9692-3
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Global Optimization.

    Volume (Year): 53 (2012)
    Issue (Month): 2 (June)
    Pages: 297-315

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    Handle: RePEc:spr:jglopt:v:53:y:2012:i:2:p:297-315

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    Web page: http://www.springer.com/business/operations+research/journal/10898

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    Related research

    Keywords: Portfolio optimization; Support vector machines; Real-coded genetic algorithm; Multicriteria decision making;

    References

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    2. Fang, Yong & Lai, K.K. & Wang, Shou-Yang, 2006. "Portfolio rebalancing model with transaction costs based on fuzzy decision theory," European Journal of Operational Research, Elsevier, vol. 175(2), pages 879-893, December.
    3. Pardalos, Panos M & Sandstrom, Mattias & Zopounidis, Costas, 1994. "On the Use of Optimization Models for Portfolio Selection: A Review and Some Computational Results," Computational Economics, Society for Computational Economics, vol. 7(4), pages 227-44.
    4. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    5. Tay, Francis E. H. & Cao, Lijuan, 2001. "Application of support vector machines in financial time series forecasting," Omega, Elsevier, vol. 29(4), pages 309-317, August.
    6. Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
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    Cited by:
    1. Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.

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