Time-varying minimum-cost portfolio insurance under transaction costs problem via Beetle Antennae Search Algorithm (BAS)

Author:

Katsikis Vasilios N.,Mourtas Spyridon D.,Stanimirović Predrag S.,Li Shuai,Cao Xinwei

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference27 articles.

1. Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: A multi-stage stochastic integer programming approach;Maier;Comput. Oper. Res.,2018

2. Portfolio selection with coherent Investors expectations under uncertainty;Li;Expert Syst. Appl.,2019

3. On efficient portfolio selection using convex risk measures;Kountzakis;Math. Financ. Econ.,2011

4. Dynamic proportion portfolio insurance using genetic programming with principal component analysis;Chen;Expert Syst. Appl.,2008

5. Optimal portfolio management for engineering problems using nonconvex cardinality constraint: a computing perspective;Khan;IEEE Access,2020

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