A novel portfolio optimization method for foreign currency investment.
Yuan CaoHaibo HeRajarathnam ChandramouliPublished in: IJCNN (2009)
Keyphrases
- optimization method
- portfolio management
- optimal portfolio
- asset allocation
- market data
- investment decisions
- optimization methods
- decision making
- optimization algorithm
- portfolio selection
- optimization process
- portfolio optimization
- global optimum
- investment strategies
- differential evolution
- evolutionary algorithm
- genetic algorithm
- simulated annealing
- nonlinear optimization
- optimization procedure
- particle swarm
- nelder mead simplex
- expected utility
- metaheuristic
- var model
- harmony search
- financial data
- financial markets
- long run
- hybrid algorithm
- neural network training
- multi objective
- sharpe ratio
- search space