Portfolio selection strategy for fixed income markets with immunization on average.
Sergio OrtobelliSebastiano VitaliMarco CassaderTomás TichýPublished in: Ann. Oper. Res. (2018)
Keyphrases
- selection strategy
- selection strategies
- selection algorithm
- market data
- transaction costs
- cauchy mutation
- genetic algorithm
- electronic commerce
- fitness function
- financial markets
- decision trees
- portfolio selection
- decision making
- mutation operation
- support vector machine svm
- feature space
- pattern recognition
- portfolio management
- information retrieval