Portfolio management using value at risk: A comparison between genetic algorithms and particle swarm optimization.
V. A. F. DallagnolJ. van den BergL. MousPublished in: Int. J. Intell. Syst. (2009)
Keyphrases
- portfolio management
- particle swarm optimization
- genetic algorithm
- portfolio optimization
- asset allocation
- pso algorithm
- portfolio selection
- multi objective
- differential evolution
- particle swarm optimization pso
- decision making
- transaction costs
- neural network
- financial data
- sharpe ratio
- multi objective optimization
- fitness function
- ant colony optimization
- statistical analysis
- simulated annealing
- stock market
- factor analysis
- problems involving
- metaheuristic
- genetic programming
- evolutionary algorithm