Differential evolution based optimization of risk budgeted Equity Market Neutral Portfolios.
G. A. Vijayalakshmi PaiThierry MichelPublished in: IEEE Congress on Evolutionary Computation (2012)
Keyphrases
- differential evolution
- optimization algorithm
- optimization method
- evolution strategy
- evolutionary algorithm
- global optimization problems
- portfolio optimization
- parameter optimization
- stock market
- harmony search
- convergence speed
- real coded
- particle swarm
- direct search
- test functions
- differential evolution algorithm
- particle swarm optimization
- evolutionary strategy
- investment strategies
- function optimization problems
- investment decisions
- multi objective
- optimization problems
- mutation operator
- particle swarm optimization pso
- numerical optimization problems
- constrained optimization problems
- function optimization
- genetic algorithm
- optimization methods
- artificial bee colony
- solving global optimization problems
- power flow
- optimization process
- stock price
- risk management
- hybrid algorithm
- multi objective optimization
- crossover operator
- numerical optimization
- stock exchange
- global convergence
- biogeography based optimization
- global search
- particle swarm optimization algorithm
- swarm intelligence
- robust optimization
- optimization model
- parameter estimation