Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization.
Miguel A. LejeuneSiqian ShenPublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- multi objective
- portfolio optimization
- optimization algorithm
- portfolio management
- multiple objectives
- decision making
- risk management
- evolutionary algorithm
- statistical models
- multi objective optimization
- global optimization
- linear programming
- genetic algorithm
- particle swarm optimization
- genetic programming
- factor analysis
- multiobjective optimization
- evolutionary optimization
- probabilistic model
- objective function
- multi objective optimization problems