Multi-Guide Set-Based Particle Swarm Optimization for Multi-Objective Portfolio Optimization
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DOI: 10.3390/a16020062
Abstract: Portfolio optimization is a moop with risk and profit, or some form of the two, as competing objectives. Single-objective portfolio optimization requires a trade-off coefficient to be specified in order to balance the two objectives.… read more here.
Keywords: set based; multi objective; portfolio optimization; objective portfolio ... See more keywords
Robust multi-period and multi-objective portfolio selection
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DOI: 10.3934/jimo.2019130
Abstract: In this paper, a multi-period multi-objective portfolio selection problem with uncertainty is studied. Under the assumption that the uncertainty set is ellipsoidal, the robust counterpart of the proposed problem can be transformed into a standard… read more here.
Keywords: multi period; multi; objective portfolio; multi objective ... See more keywords