Risk Budgeted Portfolio Optimization Using an Extended Ant Colony Optimization Metaheuristic.
G. A. Vijayalakshmi PaiPublished in: Int. J. Appl. Metaheuristic Comput. (2012)
Keyphrases
- portfolio optimization
- ant colony optimization metaheuristic
- portfolio management
- risk management
- portfolio selection
- risk measures
- factor analysis
- problems involving
- investment decisions
- stock market
- robust optimization
- bi objective
- optimization methods
- stock price
- metaheuristic
- decision support system
- sharpe ratio
- financial markets
- artificial intelligence
- benchmark problems
- short term
- multistage
- cost function
- lower bound