Portfolio optimization problems in different risk measures using genetic algorithm

Expert Systems with Applications

Volumn 36, Issue 7, 2009, Pages 10529-10537

  Chang, Tun Jen ^a   Yang, Sang Chin ^b   Chang, Kuang Jung ^b  

^a SHIH CHIEN UNIVERSITY   (Taiwan)

^b NATIONAL DEFENSE UNIVERSITY   (Taiwan)

Author keywords

Cardinality constrained efficient frontier; Genetic algorithm; Mean absolute deviation; Mean variance; Portfolio optimization; Semi variance; Variance with skewness

Indexed keywords

CARDINALITY CONSTRAINED EFFICIENT FRONTIER; MEAN ABSOLUTE DEVIATION; MEAN-VARIANCE; PORTFOLIO OPTIMIZATION; SEMI-VARIANCE; VARIANCE WITH SKEWNESS;

FINANCIAL DATA PROCESSING; GENETIC ALGORITHMS; HEURISTIC ALGORITHMS; HEURISTIC METHODS; RISK ASSESSMENT;

CONSTRAINED OPTIMIZATION;

EID: 67349119462     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2009.02.062     Document Type: Article

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