Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm-Reference-Cited by-同舟云学术

Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm

Published:2021-07 Issue: Volume: Page:102328
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Drenovak Mikica,Ranković Vladimir,Urošević Branko,Jelic Ranko

Publisher

Elsevier BV

Subject

Finance

Reference16 articles.

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3. Multi-objective Evolutionary Algorithms for Complex Portfolio Optimization Problems;Anagnostopoulos;Computational Management Science,2011

4. Bank for International Settlements (BIS). 2019. Minimum Capital Requirements for Market Risk. (January): 1-130. https://www.bis.org/bcbs/publ/d457.pdf.

5. Portfolio Optimization within Envelope-based Multi-objective Evolutionary Algorithm;Branke;European Journal of Operational Research,2009

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