A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms.
Victor DeMiguelLorenzo GarlappiFrancisco J. NogalesRaman UppalPublished in: Manag. Sci. (2009)
Keyphrases
- multi objective optimization
- portfolio optimization
- bi objective
- multi objective
- portfolio management
- evolutionary algorithm
- portfolio selection
- nsga ii
- problems involving
- risk management
- factor analysis
- robust optimization
- stock market
- optimization algorithm
- optimization methods
- investment decisions
- multi agent systems
- optimization problems
- stock exchange
- case based reasoning