Evolution on trees: On the design of an evolution strategy for scenario-based multi-period portfolio optimization under transaction costs

Author:

Beyer Hans-Georg,Finck Steffen,Breuer Thomas

Publisher

Elsevier BV

Subject

General Mathematics,General Computer Science

Reference38 articles.

1. On the design of constraint covariance matrix self-adaptation evolution strategies including a cardinality constraint;Beyer;IEEE Trans. Evol. Comput.,2012

2. Introduction to Stochastic Programming;Birge,1997

3. Modeling, Measuring and Managing Risk;Pflug,2007

4. Metaheuristics for the portfolio selection problem;di Tollo;Int. J. Oper. Res.,2008

5. A survey on multiobjective evolutionary algorithms for the solution of the portfolio optimization problem and other finance and economics applications;Ponsich;IEEE Trans. Evol. Comput.,2013

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