Carry trade portfolio optimization using particle swarm optimization.
Stuart G. ReidKatherine M. MalanAndries P. EngelbrechtPublished in: IEEE Congress on Evolutionary Computation (2014)
Keyphrases
- portfolio optimization
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- risk management
- robust optimization
- bi objective
- stock price
- transaction costs
- optimization methods
- stock market
- stock exchange
- multiple objectives
- cost function
- statistically significant
- shortest path
- optimization problems
- simulated annealing