Multi-objective portfolio optimization considering the dependence structure of asset returns
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- Francisco Luna & David Quintana & Sandra García & Pedro Isasi, 2016. "Enhancing Financial Portfolio Robustness with an Objective Based on ϵ-Neighborhoods," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 479-515, May.
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More about this item
KeywordsMetaheuristics; Portfolio optimization; Stable distribution; Copula function; Multi-objective particle swarm optimization;
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