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• W2213238601 abstract "Portfolio investment has become a fashionable investment with the advantage of risk dispersion. In this work, we examine the ability of three heuristic algorithms to distribute capital associated with the standard mean-variance portfolio optimisation with different risks as constraints. Penalty function is used to deal with the constraint conditions. The three methods considered are Differential Evolution DE, Comprehensive Learning Particle Swarm Optimiser CLPSO and Covariance Matrix Adaption Evolution Strategy CMA-ES. The results demonstrate that CMA-ES is superior in solving investment portfolio problems in comparison to the other two heuristic algorithms." @default.
• W2213238601 created "2016-06-24" @default.
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• W2213238601 date "2015-01-01" @default.
• W2213238601 modified "2023-10-03" @default.
• W2213238601 title "Solving a portfolio optimisation problem via heuristic algorithms" @default.
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• W2213238601 doi "https://doi.org/10.1504/ijwmc.2015.072572" @default.
• W2213238601 hasPublicationYear "2015" @default.
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