Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection.
Ilhan UstaYeliz Mert KantarPublished in: Entropy (2011)
Keyphrases
- portfolio selection
- multi objective
- multiple objectives
- evolutionary algorithm
- multistage stochastic
- portfolio optimization
- optimization algorithm
- multi objective optimization
- shannon entropy
- genetic algorithm
- particle swarm optimization
- portfolio management
- pareto optimal
- bi objective
- objective function
- robust optimization
- financial markets
- nsga ii
- optimization problems
- text documents
- optimal portfolio