Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementation risk. The potential temporary discrepancy...

Full description

Saved in:

Bibliographic Details
Published in:	Applied sciences Vol. 7; no. 10; p. 1079
Main Authors:	Quintana, David, Denysiuk, Roman, Garcia-Rodriguez, Sandra, Gaspar-Cunha, António
Format:	Journal Article
Language:	English
Published:	Basel MDPI AG 01.10.2017 Multidisciplinary digital publishing institute (MDPI)
Subjects:	Economic models evolutionary computation Machine Learning Mathematics multiobjective optimization Optimization and Control Portfolio Management portfolio optimization Quantitative Finance robustness Statistics multiobjective optimization robustness portfolio optimization evolutionary computation ROBUST OPTIMIZATION
ISSN:	2076-3417, 2076-3417
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!