A new multi-objective portfolio optimization model based on dual expected utility.
Yuelin GaoBo WangXiangping QuanJingke ZhouPublished in: BIC-TA (2010)
Keyphrases
- expected utility
- multi objective
- portfolio optimization
- pareto optimal
- bi objective
- multiple objectives
- multi objective optimization
- nsga ii
- evolutionary algorithm
- problems involving
- optimization algorithm
- portfolio selection
- robust optimization
- utility function
- portfolio management
- decision theoretic
- decision makers
- decision theory
- particle swarm optimization
- objective function
- genetic algorithm
- risk management
- factor analysis
- stock price
- optimal strategy
- optimization methods
- risk averse
- stock market
- probabilistic model
- network design
- theoretical framework
- optimization problems
- simulated annealing
- dynamic programming
- optimal solution