Evolutionary optimization of constrained k-means clustered assets for diversification in small portfolios

IEEE Transactions on Evolutionary Computation

Volumn 13, Issue 5, 2009, Pages 1030-1053

  Pai, G A Vijayalakshmi ^a   Michel, Thierry ^b  

^a PSG COLLEGE OF TECHNOLOGY   (India)

^b Lombard Odier Darier Hentsch Gestion   (France)

Author keywords

Bounding and class constraints; Cardinality; Evolution strategy; k means cluster analysis; Portfolio optimazation

Indexed keywords

BOUNDING AND CLASS CONSTRAINTS; CARDINALITY; EVOLUTION STRATEGY; K-MEANS CLUSTER ANALYSIS; PORTFOLIO OPTIMAZATION;

CLUSTER ANALYSIS; COMPUTER SIMULATION; FINANCIAL DATA PROCESSING; GENETIC PROGRAMMING; MATHEMATICAL MODELS; MATHEMATICAL OPERATORS; NUMBER THEORY; QUADRATIC PROGRAMMING;

CONSTRAINED OPTIMIZATION;

EID: 70349882157     PISSN: 1089778X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TEVC.2009.2014360     Document Type: Article

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