Multi-objective optimization of portfolio selection involving non-convex attributes in an anti-fragile perspective

Author:

Gotardelo DaviORCID,Goliatt Leonardo

Publisher

Springer Science and Business Media LLC

Subject

Control and Optimization,Computer Science Applications,Modeling and Simulation,Control and Systems Engineering

Reference51 articles.

1. Araujo RD, Barbosa H, Bernardino H (2016) Evolução diferencial para problemas de otimização com restrições lineares. Universidade Federal de Juiz de Fora (UFJF), 46

2. Avouyi-Dovi S, Morin S, Neto D (2004) Optimal asset allocation with omega function. In: Technical paper, Banque de France

3. Barbosa HJ, Lemonge AC, Borges CC (2008) A genetic algorithm encoding for cardinality constraints and automatic variable linking in structural optimization. Eng Struct 30(12):3708–3723

4. Blume ME, Friend I (1973) A new look at the capital asset pricing model. J Finance 28(1):19–34

5. Boyd S, Vandenberghe L (2004) Convex optimization. Cambridge University Press, Cambridge

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