Multiobjective evolutionary algorithms for complex portfolio optimization problems
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References listed on IDEAS
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- repec:spr:annopr:v:267:y:2018:i:1:d:10.1007_s10479-016-2377-z is not listed on IDEAS
- Ralph Steuer & Markus Hirschberger & Kalyanmoy Deb, 2016. "Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers," Journal of Global Optimization, Springer, vol. 64(1), pages 33-48, January.
- Ralph E. Steuer & Markus Hirschberger & Kalyanmoy Deb, 2016. "Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers," Journal of Global Optimization, Springer, vol. 64(1), pages 33-48, January.
- Vladimir Rankovic & Mikica Drenovak & Branko Uroševic & Ranko Jelic, 2016. "Mean Univariate-GARCH VaR Portfolio Optimization: Actual Portfolio Approach," CESifo Working Paper Series 5731, CESifo Group Munich.
- repec:spr:opsear:v:54:y:2017:i:3:d:10.1007_s12597-016-0289-y is not listed on IDEAS
- Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
More about this item
KeywordsMultiobjective optimization; NSGA-II; PESA; Portfolio selection; SPEA2;
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