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Evolutionary Stochastic Portfolio Optimization
2008In this chapter, the concept of evolutionary stochastic portfolio optimization is discussed. Selected theory from the fields of Stochastic Programming, evolutionary computation, portfolio optimization, as well as financial risk management is used to derive a generalized framework for computing optimal financial portfolios given an uncertain future ...
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Decentralized Robust Portfolio Optimization Based on Cooperative-Competitive Multiagent Systems
IEEE Transactions on Cybernetics, 2022Man-Fai Leung, Jun Wang, Duan Li
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Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization
Neural Networks, 2022Man-Fai Leung, Jun Wang
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60 Years of portfolio optimization: Practical challenges and current trends
European Journal of Operational Research, 2014Frank J Fabozzi
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Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Operations Research, 2003Laurent El Ghaoui, François Oustry
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Machine Learning and Portfolio Optimization
Management Science, 2018Gah-Yi Ban, Noureddine El Karoui
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Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem
Expert Systems With Applications, 2011Yi Wang, Ke-sheng Wang
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