A new evolutionary algorithm based on MOEA/D for portfolio optimization.
Heng ZhangYaoyu ZhaoFeng WangAnran ZhangPengwei YangXiao-Liang ShenPublished in: ICACI (2018)
Keyphrases
- portfolio optimization
- multi objective
- evolutionary algorithm
- bi objective
- nsga ii
- crossover operator
- multi objective optimization
- differential evolution
- multiple objectives
- portfolio selection
- optimization problems
- problems involving
- portfolio management
- optimization methods
- optimization algorithm
- robust optimization
- fitness function
- test problems
- factor analysis
- genetic programming
- pareto optimal
- simulated annealing
- risk management
- genetic algorithm
- particle swarm optimization
- optimization method
- stock market
- stock exchange
- knapsack problem
- neural network
- stock price
- solution quality
- collaborative filtering