Multi-objective portfolio optimization considering the dependence structure of asset returns.
Sadra BabaeiMohammad Mehdi SepehriEdris BabaeiPublished in: Eur. J. Oper. Res. (2015)
Keyphrases
- sharpe ratio
- portfolio optimization
- multi objective
- dependence structure
- bi objective
- multiple objectives
- portfolio management
- multi objective optimization
- evolutionary algorithm
- optimization algorithm
- problems involving
- portfolio selection
- marginal distributions
- nsga ii
- particle swarm optimization
- factor analysis
- higher order statistics
- robust optimization
- objective function
- genetic algorithm
- risk management
- markov networks
- stock price
- optimization methods
- stock market
- trading strategies
- differential evolution
- simulated annealing
- efficient solutions
- stock exchange
- random variables