Novel approach to generation Portfolio Optimization by using genetic algorithms and stochastic methods.
Alessandro Di GiorgioAndrea MercurioLaura PimpinellaPublished in: ECC (2009)
Keyphrases
- portfolio optimization
- stochastic methods
- optimization methods
- portfolio management
- simulated annealing
- optimization problems
- portfolio selection
- optimization method
- problems involving
- genetic algorithm
- risk management
- factor analysis
- stock market
- stock price
- stock exchange
- machine learning
- robust optimization
- linear programming
- feature vectors
- decision making