Stock portfolio optimization based on factor analysis and second-order memetic differential evolution algorithm.
Ning HanYinnan ChenLingjuan YeXinchao ZhaoPublished in: Memetic Comput. (2024)
Keyphrases
- portfolio optimization
- factor analysis
- differential evolution algorithm
- differential evolution
- evolutionary algorithm
- optimization algorithm
- independent component analysis
- portfolio management
- stock market
- discriminant analysis
- particle swarm optimization
- optimization method
- cluster analysis
- genetic algorithm
- multi objective optimization
- control parameters
- stock price
- multi objective
- optimization problems
- matrix factorization
- sharpe ratio
- simulated annealing
- global optimization
- statistical tests
- association rules
- tabu search
- stock exchange
- data analysis
- data mining