Mathematics of Operations Research
Robust portfolio selection problems
Mathematics of Operations Research
Operations Research
A multi-objective evolutionary approach to the portfolio optimization problem
CIMCA '05 Proceedings of the International Conference on Computational Intelligence for Modelling, Control and Automation and International Conference on Intelligent Agents, Web Technologies and Internet Commerce Vol-2 (CIMCA-IAWTIC'06) - Volume 02
Robust multiperiod portfolio management in the presence of transaction costs
Computers and Operations Research
Portfolio Selection with Robust Estimation
Operations Research
Using genetic algorithm to support portfolio optimization for index fund management
Expert Systems with Applications: An International Journal
Portfolio algorithm based on portfolio beta using genetic algorithm
Expert Systems with Applications: An International Journal
Robust portfolio selection with uncertain exit time using worst-case VaR strategy
Operations Research Letters
Robust solutions of uncertain linear programs
Operations Research Letters
Robust linear optimization under general norms
Operations Research Letters
Credit portfolio management using two-level particle swarm optimization
Information Sciences: an International Journal
Stock index tracking by Pareto efficient genetic algorithm
Applied Soft Computing
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One of the primary concerns on any asset allocation problem is to maintain a limited number of assets from the market. The problem becomes more complicated when the return of all risky assets are subject to uncertainty. In this paper, we propose a new portfolio modeling approach with uncertain data and it is also analyzed using different robust optimization techniques. The proposed formulations are solved using genetic algorithm. The implementation of the proposed method is examined on variety of well known benchmark data sets.