Portfolio optimization with an envelope-based multi-objective evolutionary algorithm.
Jürgen BrankeB. ScheckenbachMichael SteinKalyanmoy DebHartmut SchmeckPublished in: Eur. J. Oper. Res. (2009)
Keyphrases
- portfolio optimization
- multi objective evolutionary algorithms
- bi objective
- multi objective
- multi objective optimization
- efficient solutions
- portfolio selection
- problems involving
- nsga ii
- network design
- ant colony optimization
- factor analysis
- multiple objectives
- stock market
- shortest path problem
- test problems
- multiobjective optimization
- optimization algorithm
- optimization problems
- optimization methods
- differential evolution
- robust optimization
- evolutionary algorithm
- knapsack problem
- multi criteria
- risk management
- combinatorial optimization problems
- data mining
- communication networks
- shortest path
- upper bound
- long term
- optimal solution