Stock portfolio optimization based on factor analysis and second-order memetic differential evolution algorithm-Reference-Cited by-同舟云学术

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Stock portfolio optimization based on factor analysis and second-order memetic differential evolution algorithm

Published:2024-02-10 Issue:1 Volume:16 Page:29-44
ISSN:1865-9284
Container-title:Memetic Computing
language:en
Short-container-title:Memetic Comp.

Author:

Han Ning,Chen Yinnan,Ye Lingjuan,Zhao Xinchao

Funder

National Natural Science Foundation of China

Beijing Natural Science Foundation

Publisher

Springer Science and Business Media LLC

Link

https://link.springer.com/content/pdf/10.1007/s12293-024-00405-7.pdf

Reference38 articles.

1. Markowitz HM (1952) Portfolio selection. J Finance 7(1):77

2. Best MJ, Grauer RR (1991) Sensitivity analysis for mean-variance portfolio problems. Manag Sci 37(8):980–989

3. Zhou XY, Li D (2000) Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Appl Math Optim 42(1):19–33

4. Cura T (2009) Particle swarm optimization approach to portfolio optimization. Nonlinear Anal Real World Appl 10(4):2396–2406

5. Lwin KT, Qu R, MacCarthy BL (2017) Mean-VaR portfolio optimization: a nonparametric approach. Eur J Oper Res 260(2):751–766

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Adaptive Models;Advances in Finance, Accounting, and Economics;2024-08-30

2. Research on stock selection strategies based on decision tree and multi-factor models;Proceedings of the 2024 9th International Conference on Mathematics and Artificial Intelligence;2024-05-10

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