Portfolio optimization problems in different risk measures using genetic algorithm.
Tun-Jen ChangSang-Chin YangKuang-Jung ChangPublished in: Expert Syst. Appl. (2009)
Keyphrases
- risk measures
- portfolio optimization
- genetic algorithm
- problems involving
- robust optimization
- portfolio selection
- factor analysis
- portfolio management
- multi objective
- optimization problems
- particle swarm optimization
- simulated annealing
- differential evolution
- optimization methods
- mathematical programming
- risk averse