Evolution Strategy in Portfolio Optimization.
Jerzy J. KorczakPiotr LipinskiPatrick RogerPublished in: Artificial Evolution (2001)
Keyphrases
- portfolio optimization
- evolution strategy
- optimization methods
- evolutionary algorithm
- cma es
- portfolio management
- stock market
- portfolio selection
- problems involving
- risk management
- differential evolution
- robust optimization
- factor analysis
- genetic algorithm
- bi objective
- optimization method
- optimization problems
- stock exchange
- global search
- simulated annealing
- neural network
- particle swarm optimization algorithm
- stock price
- linear programming
- mathematical programming
- optimization algorithm
- software development
- np hard
- long term
- short term