Composition of investment portfolios through a combinatorial multiobjective optimization model using CVaR.
Bruno C. BarrosoFernando Garcia Diniz Campos FerreiraGustavo P. HanaokaFelipe D. PaivaRodrigo T. N. CardosoPublished in: CEC (2017)
Keyphrases
- optimization model
- multi objective
- portfolio selection
- multiple objectives
- optimal portfolio
- portfolio optimization
- portfolio management
- bi objective
- investment decisions
- evolutionary algorithm
- multi objective optimization
- multiobjective optimization
- optimization algorithm
- optimization process
- objective function
- risk measures
- nsga ii
- genetic algorithm
- robust optimization
- construction project
- pareto optimal
- particle swarm optimization
- risk averse
- multiobjective genetic algorithm
- long run
- decision making
- conflicting objectives
- return on investment
- nonparametric estimation
- problems involving
- risk management
- optimization problems
- sensor placement
- trade off
- risk aversion
- neural network
- multiobjective evolutionary algorithms
- spare parts
- multiobjective evolutionary algorithm
- investment strategies
- min max
- genetic programming
- factor analysis
- network flow
- financial markets