Výsledky vyhledávání - Multi-objective constrained portfolio optimization

Multiple populations co-evolutionary particle swarm optimization for multi-objective cardinality constrained portfolio optimization problem Autor Zhao, Hong, Chen, Zong-Gan, Zhan, Zhi-Hui, Kwong, Sam, Zhang, Jun

“… This is usually called the portfolio optimization problem (POP). When the cardinality constrained (CC…”
Získat plný text

A multi-population evolutionary algorithm for multi-objective constrained portfolio optimization problem Autor Hemici, Meriem, Zouache, Djaafar

“… This paper proposes a new multi-objective evolutionary algorithm based on multi-population, called MP-MOEA, to handle the multi-objective constrained portfolio optimization problem (MOCPOP…”
Získat plný text

Utilizing dependence among variables in evolutionary algorithms for mixed-integer programming: A case study on multi-objective constrained portfolio optimization Autor Chen, Yi, Zhou, Aimin, Das, Swagatam

“… This paper considers the multi-objective constrained portfolio optimization problems that can be formulated as MINLP problems…”
Získat plný text

A learning-guided multi-objective evolutionary algorithm for constrained portfolio optimization Autor Lwin, Khin, Qu, Rong, Kendall, Graham

“…[Display omitted] •A learning-guided multi-objective evolutionary algorithm for constrained portfolio optimization problem is proposed…”
Získat plný text

Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization Autor Lejeune, Miguel A., Shen, Siqian

“…•Boolean reformulation method for multi-objective joint chance-constrained problems (MOPCP…”
Získat plný text

Mean-VaR portfolio optimization: A nonparametric approach Autor Lwin, Khin T., Qu, Rong, MacCarthy, Bart L.

“…•Present a new MOEA for complex portfolio optimization.•Six real-world trading constraints are considered…”
Získat plný text

Fuzzy Multi-Objective Chance-Constrained Portfolio Optimization Under Uncertainty Considering Investment Return, Investment Risk, and Sustainability Autor Chiadamrong, Navee, Suthamanondh, Pisacha

“… The investment return, investment risk, and sustainability have been simultaneously evaluated in this study by fuzzy multi-objective chance-constrained portfolio optimization, aligned…”
Získat plný text

MOEA/D with An Improved Multi-Dimensional Mapping Coding Scheme for Constrained Multi-Objective Portfolio Optimization Autor Chen, Yi, Zhou, Aimin

“… in a given investment period. In this paper, an extended Markowitz's mean-variance portfolio optimization model, which is converted as a constrained multi-objective problem, is studied…”
Získat plný text

A Multi-Period Constrained Multi-Objective Evolutionary Algorithm with Orthogonal Learning for Solving the Complex Carbon Neutral Stock Portfolio Optimization Model Autor Chen, Yinnan, Ye, Lingjuan, Li, Rui, Zhao, Xinchao

“… PO is actually considered as a multi-stage multi-objective optimization problem in real investment scenarios…”
Získat plný text

Metaheuristic multi-objective optimization of constrained futures portfolios for effective risk management Autor Pai, G.A. Vijayalakshmi, Michel, Thierry

“…In the Derivatives financial markets, Futures portfolios are perceived to be instruments of high risk, despite their flexibility of being used for portfolio protection (hedging…”
Získat plný text

The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm Autor Chen, Bili, Lin, Yangbin, Zeng, Wenhua, Xu, Hang, Zhang, Defu

“… portfolio optimization problem (MVCCPO problem). We extend an algorithm which is based on a multi-objective evolutionary framework incorporating a local search schema and non-dominated sorting…”
Získat plný text

Multi-objective genetic algorithm based on the fuzzy MULTIMOORA method for solving the cardinality constrained portfolio optimization Autor Deliktaş, Derya, Ustun, Ozden

“…) method and the mean–variance-ranking cardinality constrained portfolio optimization (MVRCCPO), which is the extension of classical mean-variance cardinality constrained portfolio optimization model…”
Získat plný text

Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem Autor Zhu, Hanhong, Wang, Yi, Wang, Kesheng, Chen, Yun

“… The non-linear constrained portfolio optimization problem with multi-objective functions cannot be efficiently solved using traditionally approaches…”
Získat plný text

Utilizing Dependence among Variables in Evolutionary Algorithms for Mixed-Integer Programming: A Case Study on Multi-Objective Constrained Portfolio Optimization Autor Chen, Yi, Zhou, Aimin, Das, Swagatam

“… In this framework, we investigate a multi-objective constrained portfolio optimization problem, which can be cast as a classical financial problem and can also be naturally modeled as an MINLP…”
Získat plný text

A Learnheuristic Approach to A Constrained Multi-Objective Portfolio Optimisation Problem Autor Bullah, Sonia, van Zyl, Terence L

“…Multi-objective portfolio optimisation is a critical problem researched across various fields of study as it achieves the objective of maximising the expected return while minimising the risk…”
Získat plný text

The mean-variance-skewness cardinality constrained portfolio optimization problem using a customized multi-objective evolutionary algorithm Autor Li, Lan, Huang, Wenlan, Zhang, Yu

“…MVSCCPO is a mean-variance-skewness portfolio optimization problem with cardinality constraint…”
Získat plný text

Portfolio optimization using a credibility mean-absolute semi-deviation model Autor Vercher, Enriqueta, Bermúdez, José D.

“… We introduce a cardinality constrained multi-objective optimization problem for generating efficient portfolios within a fuzzy mean-absolute deviation framework…”
Získat plný text

A Class of Chance Constrained Multi-objective Portfolio Selection Model Under Fuzzy Random Environment Autor Xu, Jiuping, Zhou, Xiaoyang, Li, Steven

“…This paper deals with a class of chance constrained portfolio selection problems in the fuzzy random decision making system…”
Získat plný text

An improved multi-objective particle swarm optimization for constrained portfolio selection model Autor Jianli Zhou, Jun Li

“…This paper addresses the constrained multi-objective portfolio election model for investors by studying three criteria…”
Získat plný text

Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization Autor Kaucic, Massimiliano

“…•Variant of the multi-objective particle swarm optimization algorithm.•Hybrid constraint-handling technique based on the constrained Pareto dominance and a repair mechanism…”
Získat plný text