Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
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- Babaei, Sadra & Sepehri, Mohammad Mehdi & Babaei, Edris, 2015. "Multi-objective portfolio optimization considering the dependence structure of asset returns," European Journal of Operational Research, Elsevier, vol. 244(2), pages 525-539.
- Ankit Dangi, 2013. "Financial Portfolio Optimization: Computationally guided agents to investigate, analyse and invest!?," Papers 1301.4194, arXiv.org.
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- Kraft, Holger & Steffensen, Mogens, 2012. "A dynamic programming approach to constrained portfolios," CFS Working Paper Series 2012/07, Center for Financial Studies (CFS).
- Yu, Jing-Rung & Lee, Wen-Yi, 2011. "Portfolio rebalancing model using multiple criteria," European Journal of Operational Research, Elsevier, vol. 209(2), pages 166-175, March.
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"Asset Allocation And Portfolio Optimization Problems With Metaheuristics: A Literature Survey,"
Business Excellence and Management,
Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 3(4), pages 38-56, December.
- Jarraya, Bilel, 2013. "Asset allocation and portfolio optimization problems with metaheuristics: a literature survey," MPRA Paper 53698, University Library of Munich, Germany, revised 2013.
- Kraft, Holger & Steffensen, Mogens, 2013. "A dynamic programming approach to constrained portfolios," European Journal of Operational Research, Elsevier, vol. 229(2), pages 453-461.
- Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2011. "Heuristic algorithms for the cardinality constrained efficient frontier," European Journal of Operational Research, Elsevier, vol. 213(3), pages 538-550, September.
- Vladimir Rankovic & Mikica Drenovak & Branko UroÅ¡evic & Ranko Jelic, 2016. "Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach," CESifo Working Paper Series 5731, CESifo Group Munich.
- Ranković, Vladimir & Ivanović, Miloš & Urošević, Branko & Jelic, Ranko, 2017. "Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1030-1044.
- Branko UroÅ¡evic & Mikica Drenovak & Vladimir Rankovic & Ranko Jelic & Milos Ivanovic, 2016. "Market Risk Management in a Post-Basel II Regulatory Environment," CESifo Working Paper Series 6293, CESifo Group Munich.
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KeywordsPortfolio optimization Evolutionary algorithm Multi-objective;
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