The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm.
Bili ChenYangbin LinWenhua ZengHang XuDefu ZhangPublished in: Appl. Intell. (2017)
Keyphrases
- multi objective evolutionary algorithms
- hard constraints
- portfolio optimization
- multi objective
- bi objective
- benchmark test
- multi objective evolutionary
- search space
- soft constraints
- multi objective optimization
- search algorithm
- test problems
- fitness function
- multi objective optimization problems
- nsga ii
- genetic algorithm
- tabu search
- constraint satisfaction problems
- cost function
- neural network
- memetic algorithm
- multiobjective optimization
- combinatorial optimization
- nature inspired
- evolutionary computation
- multi criteria
- portfolio selection
- evolutionary algorithm
- optimization algorithm
- objective function
- optimal solution
- utility function
- differential evolution