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A naïve approach to speed up portfolio optimization problem using a multiobjective genetic algorithm

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A naïve approach to speed up portfolio optimization problem using a multiobjective genetic algorithm

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Baixauli-Soler, JS.; Alfaro Cid, E.; Fernandez-Blanco, MO. (2012). A naïve approach to speed up portfolio optimization problem using a multiobjective genetic algorithm. Investigaciones Europeas de Direccion y Economia de la Empresa. 18:126-131. doi:10.1016/S1135-2523(12)70002-3

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/34842

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Title: A naïve approach to speed up portfolio optimization problem using a multiobjective genetic algorithm
Secondary Title: Una aproximación ingenua para acelerar el programa de optimización de carteras usando un algoritmo genético multiobjetivo
Author: Baixauli-Soler, J. Samuel Alfaro Cid, Eva Fernandez-Blanco, Matilde O.
UPV Unit: Universitat Politècnica de València. Instituto Universitario Mixto Tecnológico de Informática - Institut Universitari Mixt Tecnològic d'Informàtica
Issued date:
Abstract:
Genetic algorithms (GAs) are appropriate when investors have the objective of obtaining mean-variance (VaR) efficient frontier as minimising VaR leads to non-convex and non-differential risk-return optimisation problems. ...[+]
Subjects: Efficient portfolio , Genetic algorithm , Value¿at¿Risk
Copyrigths: Reconocimiento - No comercial - Sin obra derivada (by-nc-nd)
Source:
Investigaciones Europeas de Direccion y Economia de la Empresa. (issn: 1135-2523 )
DOI: 10.1016/S1135-2523(12)70002-3
Publisher:
Elsevier
Publisher version: https://doi.org/10.1016/S1135-2523(12)70002-3
Type: Artículo

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