The mean-value at risk static portfolio optimization using genetic algorithm.
Vladimir RankovicMikica DrenovakBoban S. StojanovicZoran KalinicZora ArsovskiPublished in: Comput. Sci. Inf. Syst. (2014)
Keyphrases
- portfolio optimization
- genetic algorithm
- risk management
- portfolio management
- portfolio selection
- factor analysis
- risk measures
- bi objective
- robust optimization
- multi objective
- problems involving
- optimization methods
- fitness function
- stock market
- investment decisions
- multi objective optimization
- optimization method
- simulated annealing
- stock exchange
- stock price
- evolutionary algorithm
- sharpe ratio
- neural network
- discriminant analysis
- differential evolution
- metaheuristic
- particle swarm optimization
- multiple objectives
- software engineering
- decision making