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...

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Vydané v:	Applied sciences Ročník 7; číslo 10; s. 1079
Hlavní autori:	Quintana, David, Denysiuk, Roman, Garcia-Rodriguez, Sandra, Gaspar-Cunha, António
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Basel MDPI AG 01.10.2017 Multidisciplinary digital publishing institute (MDPI)
Predmet:	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
On-line prístup:	Získať plný text
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