A minimax portfolio selection strategy with equilibrium.
Xiaotie DengZhongfei LiShouyang WangPublished in: Eur. J. Oper. Res. (2005)
Keyphrases
- selection strategy
- selection strategies
- game theory
- nash equilibrium
- selection algorithm
- genetic algorithm
- decision making
- worst case
- cauchy mutation
- portfolio management
- evaluation function
- variational inequalities
- fitness function
- portfolio selection
- portfolio optimization
- mutation operation
- global optimization
- game tree
- imperfect information
- transaction costs
- search algorithm
- clonal selection algorithm
- neyman pearson
- machine learning