Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs.
R. R. A. MendesAnderson Paulo de PaivaRogério Santana PeruchiPedro Paulo BalestrassiRafael Coradi LemeMessias Borges da SilvaPublished in: Comput. Oper. Res. (2016)
Keyphrases
- portfolio optimization
- multi objective
- experimental designs
- stock market
- stock price
- bi objective
- experimental design
- evolutionary algorithm
- exchange rate
- stock exchange
- multi objective optimization
- multiple objectives
- financial time series
- optimization algorithm
- particle swarm optimization
- simulation platform
- non stationary
- portfolio selection
- learning tasks
- problems involving
- short term
- autoregressive
- genetic algorithm
- financial data
- nsga ii
- efficient solutions
- objective function
- financial markets
- robust optimization
- factor analysis
- multivariate time series
- optimization method
- differential evolution
- ant colony optimization
- shortest path problem
- text categorization
- long term
- active learning