A hybrid genetic algorithm for a two-stage stochastic portfolio optimization with uncertain asset prices.
Tianxiang CuiRuibin BaiAndrew J. ParkesFang HeRong QuJingpeng LiPublished in: CEC (2015)
Keyphrases
- portfolio optimization
- sharpe ratio
- portfolio management
- portfolio selection
- problems involving
- risk management
- bi objective
- robust optimization
- factor analysis
- optimization methods
- stock market
- stock exchange
- long run
- investment decisions
- financial markets
- transaction costs
- decision making
- multi objective optimization
- independent component analysis
- decision support system
- face recognition