Risk-adjusted portfolio optimisation using a parallel multi-objective evolutionary algorithm.
Phil MaguireDonal O'SullivanPhilippe MoserGavin DunnePublished in: CIFEr (2012)
Keyphrases
- multi objective evolutionary
- multi objective evolutionary algorithms
- portfolio management
- portfolio optimization
- benchmark test
- multi objective
- decision making
- genetic algorithm
- bi objective
- multi objective optimization
- risk management
- differential evolution
- portfolio selection
- fitness function
- multi objective optimization problems
- nsga ii
- multi criteria
- evolutionary algorithm
- investment decisions
- particle swarm optimization
- hard constraints
- genetic programming
- objective function
- machine learning