Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization.
Matthias EhrgottChris WatersRefail KasimbeyliOzden UstunPublished in: INFOR Inf. Syst. Oper. Res. (2009)
Keyphrases
- portfolio optimization
- utility function
- multi attribute
- multi objective
- bi objective
- multiple objectives
- multi objective optimization
- evolutionary algorithm
- portfolio selection
- decision makers
- portfolio management
- optimization algorithm
- multi criteria
- utility theory
- decision theory
- decision problems
- nsga ii
- robust optimization
- problems involving
- probability distribution
- decision analysis
- stock market
- risk management
- optimization methods
- objective function
- efficient solutions
- stock exchange
- generalized additive
- genetic algorithm
- pareto optimal
- expected utility
- preference relations
- risk averse
- artificial intelligence
- knapsack problem
- stock price
- ant colony optimization
- simulated annealing
- expert systems