Evolutionary optimization of Risk Budgeted long-short portfolios.
G. A. Vijayalakshmi PaiThierry MichelPublished in: CIFEr (2011)
Keyphrases
- evolutionary optimization
- multi objective
- portfolio optimization
- genetic optimization
- constraint handling
- risk management
- genetic algorithm
- risk assessment
- investment decisions
- structural design
- multi class
- fuzzy modeling
- risk factors
- real time
- decision making
- objective function
- portfolio selection
- robust optimization
- expected utility
- decision boundary
- loss function
- risk measures
- stock market
- input output