Multiobjective optimization using differential evolution for real-world portfolio optimization

Portfolio optimization is an important aspect of decision-support in investment management. Realistic portfolio optimization, in contrast to simplistic mean-variance optimization, is a challenging problem, because it requires to determine a set of optimal solutions with respect to multiple objective...

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Veröffentlicht in:	Computational management science Jg. 8; H. 1-2; S. 157 - 179
Hauptverfasser:	Krink, Thiemo, Paterlini, Sandra
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Berlin/Heidelberg Springer-Verlag 01.04.2011 Springer Springer Nature B.V
Schlagworte:	Asset allocation Business and Management Evolution Evolutionary algorithms Financing Genetic algorithms Heuristic Investment advisors Linear programming Management Management science Mathematical models Operations Research/Decision Theory Optimization Original Paper Pareto optimum Portfolio management Quadratic programming Searching Simulated annealing Studies Portfolio optimization Multiobjective Real-world constraints Differential evolution Value-at-Risk
ISSN:	1619-697X, 1619-6988
Online-Zugang:	Volltext
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