Mean-VaR portfolio optimization: A nonparametric approach

•Present a new MOEA for complex portfolio optimization.•Six real-world trading constraints are considered.•Computational experiments are performed by using real market data.•Results show the effectiveness of the learning mechanism.•Proposed method yield improved performance relative to existing meth...

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Bibliographic Details

Published in:	European journal of operational research Vol. 260; no. 2; pp. 751 - 766
Main Authors:	Lwin, Khin T., Qu, Rong, MacCarthy, Bart L.
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 16.07.2017
Subjects:	Evolutionary computations Multi-objective constrained portfolio optimization Nonparametric historical simulation Value at risk Evolutionary computations Value at risk Multi-objective constrained portfolio optimization Nonparametric historical simulation
ISSN:	0377-2217, 1872-6860
Online Access:	Get full text
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