Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models.

Published in: Ann. Oper. Res. (2022)

Keyphrases

multiple objectives
portfolio selection
minimum variance
portfolio optimization
financial markets
multi objective
problems involving
neural network
autoregressive
bi objective
transaction costs
probabilistic model
simulated annealing
optimization algorithm
special case
pareto optimal
search space