Multiobjective Model Predictive Control for portfolio optimization with cardinality constraint.
Maísa Kely de MeloRodrigo Tomás Nogueira CardosoTales Argolo JesusPublished in: Expert Syst. Appl. (2022)
Keyphrases
- portfolio optimization
- model predictive control
- multi objective
- cardinality constraints
- bi objective
- control system
- predictive control
- evolutionary algorithm
- multiple objectives
- multi objective optimization
- portfolio selection
- optimization algorithm
- nsga ii
- functional dependencies
- problems involving
- robust optimization
- particle swarm optimization
- genetic algorithm
- risk management
- stock market
- factor analysis
- objective function
- entity relationship
- optimization methods
- differential evolution
- integrity constraints
- control scheme
- closed loop
- stock exchange
- information systems
- neural network
- expert systems
- efficient solutions
- shortest path problem
- network design
- simulated annealing
- stock price
- databases
- control strategy