Asset portfolio optimization using support vector machines and real-coded genetic algorithm.
Pankaj GuptaMukesh Kumar MehlawatGarima MittalPublished in: J. Glob. Optim. (2012)
Keyphrases
- real coded
- portfolio optimization
- genetic algorithm
- optimization methods
- sharpe ratio
- genetic algorithm ga
- portfolio management
- differential evolution
- portfolio selection
- particle swarm optimization
- problems involving
- factor analysis
- ant colony algorithm
- risk management
- robust optimization
- fuzzy clustering
- fitness function
- bi objective
- penalty function
- financial markets
- multi objective
- stock market
- simulated annealing
- evolutionary algorithm
- mutation operator
- transaction costs
- optimization method
- neural network
- stock exchange
- multiple objectives
- long term
- mathematical model
- tabu search
- optimization problems