An Evolutionary Optimization Approach to Risk Parity Portfolio Selection.
Ronald HochreiterPublished in: EvoApplications (2015)
Keyphrases
- portfolio selection
- portfolio optimization
- portfolio management
- robust optimization
- risk measures
- multistage stochastic
- optimal portfolio
- multiple objectives
- risk management
- investment decisions
- financial markets
- optimization problems
- transaction costs
- long term
- search space
- mathematical programming
- optimization methods
- optimization algorithm
- multi objective