Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization.
Massimiliano KaucicPublished in: Comput. Oper. Res. (2019)
Keyphrases
- portfolio management
- cardinality constraints
- multi objective particle swarm optimization
- portfolio optimization
- portfolio selection
- financial data
- transaction costs
- multi objective
- stock market
- risk management
- decision making
- functional dependencies
- databases
- closed sets
- factor analysis
- evolutionary algorithm
- lower bound