A Novel Hybrid Algorithm for Mean-CVaR Portfolio Selection with Real-World Constraints.
Quande QinLi LiShi ChengPublished in: ICSI (2) (2014)
Keyphrases
- portfolio selection
- hybrid algorithm
- particle swarm optimization
- portfolio optimization
- simulated annealing
- tabu search
- financial markets
- robust optimization
- portfolio management
- genetic algorithm
- ant colony optimization
- differential evolution
- particle swarm optimization pso
- standard test problems
- artificial bee colony algorithm
- optimal solution
- hybrid optimization algorithm
- optimal portfolio
- risk measures
- imperialist competitive algorithm
- optimization method
- multiple objectives
- constrained optimization
- traveling salesman problem
- constraint programming
- search space