A Decomposition-Based Hybrid Estimation of Distribution Algorithm for Practical Mean-CVaR Portfolio Optimization.
Yihua WangWanyi ChenPublished in: ICIC (2) (2019)
Keyphrases
- portfolio optimization
- portfolio selection
- robust optimization
- estimation of distribution algorithms
- risk measures
- portfolio management
- stock market
- risk management
- problems involving
- bi objective
- stock price
- factor analysis
- optimization methods
- feature subset selection
- particle swarm optimization algorithm
- stock exchange
- evolutionary algorithm
- genetic algorithm
- continuous domains
- particle swarm optimization
- financial markets
- combinatorial optimization problems
- evolutionary computation
- dynamic programming
- neural network