Portfolio selection under possibilistic mean-variance utility and a SMO algorithm.
Wei-Guo ZhangXili ZhangWei-Lin XiaoPublished in: Eur. J. Oper. Res. (2009)
Keyphrases
- portfolio selection
- learning algorithm
- dynamic programming
- objective function
- particle swarm optimization
- computational complexity
- np hard
- knn
- linear programming
- optimization algorithm
- convergence rate
- quadratic programming
- optimal solution
- utility function
- linear program
- benchmark problems
- network flow
- financial markets