Dynamically weighted continuous ant colony optimization for biobjective portfolio selection using value-at-risk

Proceedings - 2009 3rd Asia International Conference on Modelling and Simulation, AMS 2009

Volumn , Issue , 2009, Pages 230-235

  Khalidji, Mojtaba ^a   Zeiaee, Mohammad ^a   Taei, Ali ^b   Jahed Motlagh, Mohammad Reza ^a   Khaloozadeh, Hamid ^c  

^a IRAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Iran)

^b ISLAMIC AZAD UNIVERSITY   (Iran)

^c K N TOOSI UNIVERSITY OF TECHNOLOGY   (Iran)

Author keywords

Ant colony optimization; Genetic algorithms; Multiobjective optimization; NSGA II; Portfolio optimization; Value at risk

Indexed keywords

ANT COLONIES; ANT COLONY OPTIMIZATION; BI-OBJECTIVE OPTIMIZATION; CONTINUOUS DOMAIN; HIGH-QUALITY SOLUTIONS; HISTORICAL SIMULATION; MARKOWITZ; MULTI OBJECTIVE EVOLUTIONARY ALGORITHMS; NSGA-II; OPTIMAL PORTFOLIO SELECTION; PARETO FRONT; PARETO OPTIMAL SOLUTIONS; PORTFOLIO OPTIMIZATION; PORTFOLIO SELECTION; PORTFOLIO SELECTION PROBLEMS; RISK MEASURES; TEHRAN STOCK EXCHANGES; VALUE AT RISK;

DIELECTRIC WAVEGUIDES; EVOLUTIONARY ALGORITHMS; FINANCIAL DATA PROCESSING; RISK ASSESSMENT; RISK PERCEPTION; SET THEORY; VALUE ENGINEERING;

MULTIOBJECTIVE OPTIMIZATION;

EID: 70349746780     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/AMS.2009.133     Document Type: Conference Paper

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