Gray Wolf Optimization Algorithm for Multi-Constraints Second-Order Stochastic Dominance Portfolio Optimization.
Yixuan RenTao YeMengxing HuangSiling FengPublished in: Algorithms (2018)
Keyphrases
- optimization algorithm
- portfolio optimization
- stochastic dominance
- multi objective
- optimization method
- bi objective
- portfolio management
- optimization methods
- problems involving
- evolutionary multi objective
- stock market
- differential evolution
- nsga ii
- portfolio selection
- factor analysis
- random variables
- multiple objectives
- robust optimization
- artificial bee colony
- neural network
- risk management
- discriminant analysis
- honey bee