A Risk Measurement by Using Mean-Variance-Kurtosis Hybrid Multi-Objective Portfolio Optimization Model.
Ximei LiuZahid LatifYuan LvPublished in: CSCWD (2018)
Keyphrases
- optimization model
- multi objective
- efficient frontier
- portfolio optimization
- bi objective
- multiple criteria
- portfolio selection
- multi objective optimization
- evolutionary algorithm
- portfolio management
- multiple objectives
- optimization algorithm
- multiobjective optimization
- optimization process
- data envelopment analysis
- particle swarm optimization
- investment strategies
- simulated annealing and tabu search
- network flow
- risk management
- objective function
- conflicting objectives
- decision making
- pareto optimal
- construction project
- investment decisions
- risk measures
- genetic algorithm
- standard deviation
- problems involving
- higher order statistics
- nsga ii
- robust optimization
- decision makers
- multi criteria
- stock exchange
- stock market
- high risk
- simulated annealing
- trade off
- optimal portfolio
- asset allocation
- search algorithm
- multiagent evolutionary algorithm