Downside Risk Approach for Multi-Objective Portfolio Optimization.
Bartosz SawikPublished in: OR (2011)
Keyphrases
- portfolio optimization
- multi objective
- bi objective
- portfolio management
- multiple objectives
- multi objective optimization
- evolutionary algorithm
- optimization algorithm
- risk measures
- portfolio selection
- problems involving
- nsga ii
- risk management
- genetic algorithm
- particle swarm optimization
- stock market
- optimization methods
- investment decisions
- factor analysis
- robust optimization
- efficient solutions
- stock price
- objective function
- pareto optimal
- sharpe ratio
- financial data
- differential evolution
- ant colony optimization
- decision making