MOEA/D with NBI-style Tchebycheff approach for portfolio management.
Qingfu ZhangHui LiDietmar MaringerEdward P. K. TsangPublished in: IEEE Congress on Evolutionary Computation (2010)
Keyphrases
- portfolio management
- multi objective
- multiple objectives
- portfolio selection
- portfolio optimization
- multi objective optimization
- transaction costs
- utility function
- financial data
- bi objective
- evolutionary algorithm
- problems involving
- differential evolution
- optimization algorithm
- genetic algorithm
- factor analysis
- sharpe ratio
- pareto optimal
- nsga ii
- short term
- particle swarm optimization
- long term
- data mining