Multi-objective heuristic algorithms for practical portfolio optimization and rebalancing with transaction cost.
Suraj S. MeghwaniManoj ThakurPublished in: Appl. Soft Comput. (2018)
Keyphrases
- portfolio optimization
- multi objective
- transaction costs
- portfolio management
- bi objective
- portfolio selection
- stock exchange
- multiple objectives
- multi objective optimization
- evolutionary algorithm
- optimization algorithm
- stock market
- problems involving
- objective function
- particle swarm optimization
- risk management
- stock price
- genetic algorithm
- factor analysis
- financial data
- data mining
- financial markets
- efficient solutions
- network design
- nsga ii
- optimization methods
- long term
- investment decisions