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- W1586832004 abstract "Real world optimization of financial portfolios pose a challenging multiobjective problem that can be tackled using Evolutionary Algorithms. The fact that the optimization process is subject to the presence of uncertainty concerning asset returns is likely to lead to unreliable solutions. This work suggests extending the classic mean--variance optimization problem with a third explicit robustness objective. This results on sets of portfolios that can be subsequently grouped together according to their reliability. This additional information allows for a better informed decision making regarding asset allocation." @default.
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- W1586832004 date "2014-01-01" @default.
- W1586832004 modified "2023-10-16" @default.
- W1586832004 title "Extended mean–variance model for reliable evolutionary portfolio optimization" @default.
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- W1586832004 doi "https://doi.org/10.3233/aic-140600" @default.
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