Multiobjective evolutionary algorithms for complex portfolio optimization problems

Author:

Anagnostopoulos Konstantinos P.,Mamanis Georgios

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Management Information Systems

Reference37 articles.

1. Acerbi C, Tasche D (2002) Expected shortfall: a natural coherent alternative to value at risk. Economic Notes by Banca Monte dei Paschi di Siena spA 31(2): 379–388

2. Anagnostopoulos KP, Chatzoglou PD, Katsavounis S (2004) A reactive Greedy Randomized Adaptive Search Procedure for a mixed integer portfolio optimization problem. In: Chatzoglou PD (eds) Proceedings of the 2nd international conference on accounting and finance in transition (CD)

3. Armananzas R, Lozano JA (2005) A multiobjective approach to the portfolio optimization problem. In: IEEE congress on evolutionary computation, vol 2, pp 1388–1395

4. Artzner P, Delbaen F, Eber JM, Heath D (1999) Coherent measures of risk. Math Finance 9(3): 203–228

5. Benati S, Rizzi R (2007) A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem. Eur J Oper Res 176: 423–434

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