Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection.
Ralph E. SteuerYue QiMarkus HirschbergerPublished in: Ann. Oper. Res. (2007)
Keyphrases
- portfolio selection
- multiple objectives
- portfolio management
- pareto optimal
- multi objective
- portfolio optimization
- financial markets
- problems involving
- multi objective optimization
- optimal portfolio
- bi objective
- knapsack problem
- objective function
- multi objective genetic algorithm
- evolutionary algorithm
- sharpe ratio
- stock market
- combinatorial optimization
- fitness function
- non stationary
- particle swarm optimization
- optimization problems
- pareto optimal solutions
- dynamic programming
- genetic algorithm
- cutting stock problems