Multi-objective portfolio optimization and rebalancing using genetic algorithms with local search.
Vishal SoamLeon PalafoxHitoshi IbaPublished in: IEEE Congress on Evolutionary Computation (2012)
Keyphrases
- portfolio optimization
- multi objective
- genetic algorithm
- bi objective
- multiple objectives
- multi objective optimization
- evolutionary algorithm
- optimization algorithm
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- simulated annealing
- stock market
- nsga ii
- particle swarm optimization
- robust optimization
- search algorithm
- tabu search
- risk management
- combinatorial optimization
- neural network
- genetic programming
- fitness function
- search space
- pareto optimal
- stock price
- optimal solution
- objective function
- test problems
- optimization problems
- optimization methods
- ant colony optimization
- metaheuristic
- stock exchange