Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management.
Ulrich DerigsNils-H. NickelPublished in: OR Spectr. (2003)
Keyphrases
- portfolio management
- portfolio optimization
- portfolio selection
- risk management
- factor analysis
- problems involving
- decision support system
- stock market
- stock price
- optimization methods
- robust optimization
- stock exchange
- bi objective
- decision makers
- financial data
- sharpe ratio
- genetic algorithm
- least squares
- evolutionary algorithm
- expert systems
- decision making