Optimal computing budget allocation to the differential evolution algorithm for large-scale portfolio optimization.
Wei-han LiuPublished in: J. Simulation (2017)
Keyphrases
- differential evolution algorithm
- portfolio optimization
- evolutionary algorithm
- differential evolution
- portfolio selection
- control parameters
- optimal solution
- problems involving
- risk management
- factor analysis
- clustering algorithm
- dynamic programming
- particle swarm optimization
- stock market
- particle swarm
- stock exchange