DOAM for Evolutionary Portfolio Optimization: a computational study
In this work, the ability of the Dynamic Objectives Aggregation Methods to solve the portfolio rebalancing problem is investigated conducting a computational study on a set of instances based on real data. The portfolio model considers a set of realistic constraints and entails the simultaneously optimization of the risk on portfolio, the expected return and the transaction cost.
|Date of creation:||Mar 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Largo Papa Giovanni Paolo II, 1 -71100- Foggia (I)|
Web page: http://www.dsems.unifg.it
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