A memetic algorithm for cardinality-constrained portfolio optimization with transaction costs.
Rubén Ruiz-TorrubianoAlberto SuárezPublished in: Appl. Soft Comput. (2015)
Keyphrases
- memetic algorithm
- transaction costs
- portfolio optimization
- portfolio management
- portfolio selection
- stock exchange
- tabu search
- stock market
- stock price
- evolutionary computation
- genetic algorithm
- financial data
- robust optimization
- problems involving
- vehicle routing problem
- crossover operator
- combinatorial optimization
- financial time series
- risk management
- non stationary
- factor analysis
- simulated annealing
- bi objective
- neural network
- multi objective
- exchange rate
- financial markets
- short term
- evolutionary algorithm
- optimization methods