Exponential transformation in convexifying a noninferior frontier and exponential generating method
Journal of Optimization Theory and Applications
Heuristics for cardinality constrained portfolio optimisation
Computers and Operations Research
Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
Journal of Global Optimization
A portfolio optimization model with three objectives and discrete variables
Computers and Operations Research
Handbook of Financial Engineering
Handbook of Financial Engineering
A fast and elitist multiobjective genetic algorithm: NSGA-II
IEEE Transactions on Evolutionary Computation
Hi-index | 0.00 |
This paper proposes a study of different dynamic objectives aggregation methods (DOAMs) in the context of a multi-objective evolutionary approach to portfolio optimisation. Since the incorporation of chaotic rules or behaviour in population-based optimisation algorithms has been shown to possibly enhance their searching ability, this study considers and evaluates also some chaotic rules in the dynamic weights generation process. The ability of the DOAMs to solve the portfolio rebalancing problem is investigated conducting a computational study on a set of instances based on real data. The portfolio model considers a set of realistic constraints and entails the simultaneous optimisation of the risk on portfolio, the expected return and the transaction cost.