Portfolio optimization using fundamental indicators based on multi-objective EA.
António SilvaRui Ferreira NevesNuno HortaPublished in: CIFEr (2014)
Keyphrases
- multi objective
- portfolio optimization
- evolutionary algorithm
- bi objective
- multi objective optimization
- multiple objectives
- optimization algorithm
- optimization problems
- problems involving
- portfolio management
- portfolio selection
- particle swarm optimization
- nsga ii
- genetic algorithm
- optimization methods
- factor analysis
- simulated annealing
- differential evolution
- risk management
- stock market
- fitness function
- stock price
- robust optimization
- genetic programming
- optimization method
- objective function
- efficient solutions
- pareto optimal
- expert systems
- stock exchange
- feature extraction
- neural network