Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization

Expert Systems with Applications

Volumn 38, Issue 6, 2011, Pages 6727-6735

  Sun, Jun ^a   Fang, Wei ^a   Wu, Xiaojun ^a   Lai, Choi Hong ^b   Xu, Wenbo ^a  

^a JIANGNAN UNIVERSITY   (China)

^b UNIVERSITY OF GREENWICH   (United Kingdom)

Author keywords

Heuristic methods; Multi stage portfolio optimization; Particle swarm optimization; Risk management; Stochastic programming

Indexed keywords

CLASSICAL OPTIMIZATION; COMPUTATIONAL TIME; CONVERGENCE RATES; EFFICIENT FRONTIER; FITNESS VALUES; MULTI-STAGE; NON-LINEARITY; OBJECTIVE FUNCTIONS; OPTIMIZATION TOOLS; PARTICLE SWARM; PORTFOLIO OPTIMIZATION; SAMPLE DATA; VARIANCE FUNCTION;

COMPUTATIONAL EFFICIENCY; CONVERGENCE OF NUMERICAL METHODS; FINANCIAL DATA PROCESSING; GENETIC ALGORITHMS; HEURISTIC METHODS; HEURISTIC PROGRAMMING; PROBLEM SOLVING; RISK ANALYSIS; RISK MANAGEMENT; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS;

PARTICLE SWARM OPTIMIZATION (PSO);

EID: 79951576781     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2010.11.061     Document Type: Article

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