MultiObjective Dynamic Optimization of Investment Portfolio Based on Model Predictive Control.
Maísa Kely de MeloRodrigo T. N. CardosoTales Argolo JesusPublished in: SIAM J. Control. Optim. (2022)
Keyphrases
- dynamic optimization
- model predictive control
- multi objective
- portfolio management
- nature inspired
- control system
- portfolio optimization
- predictive control
- evolutionary algorithm
- portfolio selection
- bi objective
- multi objective optimization
- optimization algorithm
- multiobjective optimization
- multiple objectives
- investment decisions
- genetic algorithm
- objective function
- particle swarm optimization
- transaction costs
- decision making
- nsga ii
- pareto optimal
- financial data
- optimization problems
- factor analysis
- artificial bee colony
- multiple models
- optimization methods
- control scheme
- neuro fuzzy
- fitness function