Search results for "portfolio optimization"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
3	Claus de Castro Aranha, Hitoshi Iba	The Memetic Tree-based Genetic Algorithm and its application to Portfolio Optimization.	Memetic Computing	2009	DBLP DOI BibTeX RDF	Representation, Memetic algorithm, Real-world application, Portfolio Optimization
3	Ben Niu, Bing Xue, Li Li, Yujuan Chai	Symbiotic Multi-swarm PSO for Portfolio Optimization.	ICIC	2009	DBLP DOI BibTeX RDF	Symbiotic PSO, portfolio optimization, particle swarm
3	Yan Chen, Shingo Mabu, Kaoru Shimada, Kotaro Hirasawa	Construction of portfolio optimization system using genetic network programming with control nodes.	GECCO	2008	DBLP DOI BibTeX RDF	control node, reinforcement learning, portfolio optimization, genetic network programming
3	Vassilios Vassiliadis, Georgios Dounias	Nature Inspired Intelligence for the Constrained Portfolio Optimization Problem.	SETN	2008	DBLP DOI BibTeX RDF	Bee Colony Optimization, Nature-Inspired Intelligence, Portfolio Optimization
3	Miguel Sousa Lobo, Maryam Fazel, Stephen Boyd	Portfolio optimization with linear and fixed transaction costs.	Annals OR	2007	DBLP DOI BibTeX RDF	Portfolio optimization, Convex programming, Transaction costs
3	Renata Mansini, Wlodzimierz Ogryczak, Maria Grazia Speranza	Conditional value at risk and related linear programming models for portfolio optimization.	Annals OR	2007	DBLP DOI BibTeX RDF	Mean-risk models, Gini’s mean difference, Linear programming, Portfolio optimization, Conditional Value at Risk, Stochastic dominance
3	N. C. P. Edirisinghe, E. I. Patterson	Multi-period stochastic portfolio optimization: Block-separable decomposition.	Annals OR	2007	DBLP DOI BibTeX RDF	Stochastic multistage programming, Nested decomposition, Block-separable recourse, Portfolio optimization
3	Ronald Hochreiter	An Evolutionary Computation Approach to Scenario-Based Risk-Return Portfolio Optimization for General Risk Measures.	EvoWorkshops	2007	DBLP DOI BibTeX RDF	scenario-based financial engineering, general risk measures, evolutionary computation, portfolio optimization
3	Manying Bai, Lujie Sun	Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization.	ESCAPE	2007	DBLP DOI BibTeX RDF	CVaR, Portfolio Optimization, Copula, GARCH
3	Yu Hua, Chanle Wu, Huyin Zhang, Libing Wu	Heterogeneous Resource Selection with Portfolio Optimization in Grid Economy.	PDCAT	2005	DBLP DOI BibTeX RDF	Max-Min Portfolio, Linear Programming, Portfolio Optimization, Grid Economy
2	Adam Krzemienowski	Risk preference modeling with conditional average: an application to portfolio optimization.	Annals OR	2009	DBLP DOI BibTeX RDF	Quantile risk measures, Portfolio optimization, Preference modeling, Experimental analysis, Stochastic dominance
2	Rafal Drezewski, Krystian Obrocki, Leszek Siwik	Comparison of Multi-agent Co-operative Co-evolutionary and Evolutionary Algorithms for Multi-objective Portfolio Optimization.	EvoWorkshops	2009	DBLP DOI BibTeX RDF
2	Ronald Hochreiter	Evolutionary Stochastic Portfolio Optimization.	Natural Computing in Computational Finance	2008	DBLP DOI BibTeX RDF
2	Claus de Castro Aranha, Hitoshi Iba	A tree-based GA representation for the portfolio optimization problem.	GECCO	2008	DBLP DOI BibTeX RDF	genetic algorithm, optimization, representation, finance
2	Claus de Castro Aranha, Hitoshi Iba	Application of a Memetic Algorithm to the Portfolio Optimization Problem.	Australasian Conference on Artificial Intelligence	2008	DBLP DOI BibTeX RDF
2	I. Radziukyniene, Antanas Zilinskas	Approximation of Pareto Set in Multi Objective Portfolio Optimization.	World Congress on Engineering (Selected Papers)	2008	DBLP DOI BibTeX RDF	Multi Objective Portfolio Optimization, Approximation, evolutionary optimization, portfolio selection, Pareto Set
2	Maria A. Osorio, Ana Ballinas, Erika Jiminez, Abraham Sánchez	A Decision Support System for Portfolio Optimization in the Mexican Market.	ENC	2008	DBLP DOI BibTeX RDF
2	Ghada Hassan	Non-linear factor model for asset selection using multi objective genetic programming.	GECCO (Companion)	2008	DBLP DOI BibTeX RDF	factor models, multiobjective optimization, finance, portfolio optimization, GP
2	Claus de Castro Aranha, Hitoshi Iba	Modelling cost into a genetic algorithm-based portfolio optimization system by seeding and objective sharing.	IEEE Congress on Evolutionary Computation	2007	DBLP DOI BibTeX RDF
2	Prisadarng Skolpadungket, Keshav P. Dahal, Napat Harnpornchai	Portfolio optimization using multi-obj ective genetic algorithms.	IEEE Congress on Evolutionary Computation	2007	DBLP DOI BibTeX RDF
2	Swee Chiang Chiam, Abdullah Al Mamun, Y. L. Low	A realistic approach to evolutionary multiobjective portfolio optimization.	IEEE Congress on Evolutionary Computation	2007	DBLP DOI BibTeX RDF
2	Marina Resta	Portfolio Optimization Through Elastic Maps: Some Evidence from the Italian Stock Exchange.	KES	2007	DBLP DOI BibTeX RDF	Elastic Maps, Italian Stock Exchange, Portfolio Optimization
2	Piotr Lipinski, Katarzyna Winczura, Joanna Wojcik	Building Risk-Optimal Portfolio Using Evolutionary Strategies.	EvoWorkshops	2007	DBLP DOI BibTeX RDF	Risk Measures, Warsaw Stock Exchange, Evolutionary Computation, Evolution Strategies, Portfolio Optimization, Financial Time Series
2	Hsing-Wen Wang	Intelligent forecasting models-selection system for the portfolio internal structure change.	Soft Comput.	2007	DBLP DOI BibTeX RDF	Efficient frontier, Internal structure change, Intelligent selection mechanism, Forecasting model, Portfolio optimization
2	Jiah-Shing Chen, Jia-Leh Hou	A Combination Genetic Algorithm with Applications on Portfolio Optimization.	IEA/AIE	2006	DBLP DOI BibTeX RDF
2	R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin	Generalized deviations in risk analysis.	Finance and Stochastics	2006	DBLP DOI BibTeX RDF	deviation measures, coherent risk measures, Risk management, portfolio optimization, value-at-risk, convex analysis, conditional value-at-risk
2	Antonio Frangioni, Claudio Gentile	Perspective cuts for a class of convex 0-1 mixed integer programs.	Math. Program.	2006	DBLP DOI BibTeX RDF	Unit Commitment problem, Mixed-Integer Programs, Portfolio Optimization, Valid Inequalities
2	Hans-Jakob Lüthi, Jörg Doege	Convex risk measures for portfolio optimization and concepts of flexibility.	Math. Program.	2005	DBLP DOI BibTeX RDF	Mathematics Subject Classification (1991) 90A46, 52A41, 90A09, 90C25, 90C31
2	Rubén Armañanzas, José Antonio Lozano	A multiobjective approach to the portfolio optimization problem.	Congress on Evolutionary Computation	2005	DBLP DOI BibTeX RDF
2	Dan Lin 0002, Xiaoming Li, Minqiang Li	A Genetic Algorithm for Solving Portfolio Optimization Problems with Transaction Costs and Minimum Transaction Lots.	ICNC	2005	DBLP DOI BibTeX RDF
2	Jörn Sass	Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model.	OR	2005	DBLP DOI BibTeX RDF
2	Yanglan Zhang, Yu Hua	Portfolio Optimization for Multi-stage Capital Investment with Neural Networks.	ISNN	2004	DBLP DOI BibTeX RDF
2	Suvrajeet Sen, Lihua Yu, Talat Genc	Asset price modeling: decision aids for scheduling and hedging (DASH) in deregulated electricity markets: a stochastic programming approach to power portfolio optimization.	Winter Simulation Conference	2002	DBLP DOI BibTeX RDF
2	Jay April, Fred Glover, James P. Kelly	OptQuest software tutorial: portfolio optimization for capital investment projects.	Winter Simulation Conference	2002	DBLP DOI BibTeX RDF
2	K. L. Teo, X. Q. Yang	Portfolio Selection Problem with Minimax Type Risk Function.	Annals OR	2001	DBLP DOI BibTeX RDF	minimax risk measure, bi-criteria program, capital asset pricing model, portfolio optimization
2	Claude G. Diderich, Wolfgang Marty	The Min-Max Portfolio Optimization Strategy: An Empirical Study on Balanced Portfolios.	NAA	2000	DBLP DOI BibTeX RDF
1	Tiago P. Filomena, Miguel A. Lejeune	Stochastic portfolio optimization with proportional transaction costs: Convex reformulations and computational experiments.	Oper. Res. Lett.	2012	DBLP DOI BibTeX RDF
1	Yan Chen, Shingo Mabu, Kotaro Hirasawa	Erratum to "Genetic relation algorithm with guided mutation for the large-scale portfolio optimization" [Expert Systems with Applications 38 (4) (2011) 3353-3363].	Expert Syst. Appl.	2012	DBLP DOI BibTeX RDF
1	Pankaj Gupta, Mukesh Kumar Mehlawat, Garima Mittal	Asset portfolio optimization using support vector machines and real-coded genetic algorithm.	J. Global Optimization	2012	DBLP DOI BibTeX RDF
1	Rudabeh Meskarian, Huifu Xu, Jörg Fliege	Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization.	European Journal of Operational Research	2012	DBLP DOI BibTeX RDF
1	Qingshan Liu, Zhishan Guo, Jun Wang	A one-layer recurrent neural network for constrained pseudoconvex optimization and its application for dynamic portfolio optimization.	Neural Networks	2012	DBLP DOI BibTeX RDF
1	Ozden Ustun, Refail Kasimbeyli	Combined forecasts in portfolio optimization: A generalized approach.	Computers & OR	2012	DBLP DOI BibTeX RDF
1	Andrew E. B. Lim, J. George Shanthikumar, Gah-Yi Vahn	Conditional value-at-risk in portfolio optimization: Coherent but fragile.	Oper. Res. Lett.	2011	DBLP DOI BibTeX RDF
1	Thomas Kremmel, Jirí Kubalík, Stefan Biffl	Software project portfolio optimization with advanced multiobjective evolutionary algorithms.	Appl. Soft Comput.	2011	DBLP DOI BibTeX RDF
1	K. P. Anagnostopoulos, G. Mamanis	The mean-variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
1	Yan Chen, Shingo Mabu, Kotaro Hirasawa	Genetic relation algorithm with guided mutation for the large-scale portfolio optimization.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
1	Shiang-Tai Liu	A fuzzy modeling for fuzzy portfolio optimization.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
1	Hanhong Zhu, Yi Wang, Kesheng Wang, Yun Chen	Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
1	Jun Sun, Wei Fang, Xiaojun Wu, Choi-Hong Lai, Wenbo Xu	Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
1	Wei Chen 0021, Shaohua Tan, Dongqing Yang	Worst-case VaR and robust portfolio optimization with interval random uncertainty set.	Expert Syst. Appl.	2011	DBLP DOI BibTeX RDF
1	Steve Zymler, Berç Rustem, Daniel Kuhn	Robust portfolio optimization with derivative insurance guarantees.	European Journal of Operational Research	2011	DBLP DOI BibTeX RDF
1	Stephen J. Stoyan, Roy H. Kwon	A Stochastic-Goal Mixed-Integer Programming approach for integrated stock and bond portfolio optimization.	Computers & Industrial Engineering	2011	DBLP DOI BibTeX RDF
1	Yongma Moon, Tao Yao	A robust mean absolute deviation model for portfolio optimization.	Computers & OR	2011	DBLP DOI BibTeX RDF
1	Daniel Bartz, Kerr Hatrick, Christian W. Hesse, Klaus-Robert Müller, Steven Lemm	Directional Variance Adjustment: a novel covariance estimator for high dimensional portfolio optimization	CoRR	2011	DBLP BibTeX RDF
1	Ka Ki Ng, Priyanka Agarwal, Nathan Mullen, Dzung Du, Ilya Pollak	Comparison of several covariance matrix estimators for portfolio optimization.	ICASSP	2011	DBLP DOI BibTeX RDF
1	Vitoantonio Bevilacqua, Vincenzo Pacelli, Stefano Saladino	A Novel Multi Objective Genetic Algorithm for the Portfolio Optimization.	ICIC	2011	DBLP DOI BibTeX RDF
1	Johannes Müller	Value-Based Portfolio Optimization for Software Product Lines.	SPLC	2011	DBLP DOI BibTeX RDF
1	Praveen Kumar Muthuswamy, Koushik Kar, Aparna Gupta, Saswati Sarkar, Gaurav S. Kasbekar	Portfolio optimization in secondary spectrum markets.	WiOpt	2011	DBLP DOI BibTeX RDF
1	Vassilios Vassiliadis, Nikos S. Thomaidis, Georgios Dounias	On the Performance and Convergence Properties of Hybrid Intelligent Schemes: Application on Portfolio Optimization Domain.	EvoApplications	2011	DBLP DOI BibTeX RDF
1	Kalyanmoy Deb, Ralph E. Steuer, Rajat Tewari, Rahul Tewari	Bi-objective Portfolio Optimization Using a Customized Hybrid NSGA-II Procedure.	EMO	2011	DBLP DOI BibTeX RDF
1	Sandra García, David Quintana, Inés María Galván, Pedro Isasi	Portfolio Optimization Using SPEA2 with Resampling.	IDEAL	2011	DBLP DOI BibTeX RDF
1	Chunquan Li, Jianhua Jin	Fuzzy Portfolio Optimization Model with Fuzzy Numbers.	NL-MUA	2011	DBLP DOI BibTeX RDF
1	Elaine Wah, Yi Mei, Benjamin W. Wah	Portfolio Optimization through Data Conditioning and Aggregation.	ICTAI	2011	DBLP DOI BibTeX RDF
1	Srikanth Sridharan, Divakar Chitturi, Armando A. Rodriguez	A receding horizon control approach to portfolio optimization using a risk-minimax objective for wealth tracking.	CCA	2011	DBLP DOI BibTeX RDF
1	Norman May, Ulrich Scholten, Robin Fischer	Towards an Automated Gap Analysis for E-Service Portfolios.	IEEE SCC	2011	DBLP DOI BibTeX RDF	quality of service, control theory, e-services, portfolio optimization, implicit, intermediaries, gap analysis, explicit feedback
1	Junseok Hwang, Hak-Jin Kim, Jihyoun Park	Managing risks in an open computing environment using mean absolute deviation portfolio optimization.	Future Generation Comp. Syst.	2010	DBLP DOI BibTeX RDF
1	Alex Weissensteiner	Using the Black-Derman-Toy interest rate model for portfolio optimization.	European Journal of Operational Research	2010	DBLP DOI BibTeX RDF
1	Mei Yu, Satoru Takahashi, Hiroshi Inoue, Shouyang Wang	Dynamic portfolio optimization with risk control for absolute deviation model.	European Journal of Operational Research	2010	DBLP DOI BibTeX RDF
1	George G. Polak, David F. Rogers, Dennis J. Sweeney	Risk management strategies via minimax portfolio optimization.	European Journal of Operational Research	2010	DBLP DOI BibTeX RDF
1	Imre Kondor, István Varga-Haszonits	Instability of Portfolio Optimization under Coherent Risk Measures.	Advances in Complex Systems	2010	DBLP DOI BibTeX RDF
1	Adem Kiliçman, Jaisree Sivalingam	Portfolio Optimization of Equity Mutual Funds - Malaysian Case Study.	Adv. Fuzzy Systems	2010	DBLP DOI BibTeX RDF
1	Luis Miguel Rios, Nikolaos V. Sahinidis	Portfolio optimization for wealth-dependent risk preferences.	Annals OR	2010	DBLP DOI BibTeX RDF
1	Yan Chen, Shingo Mabu, Kotaro Hirasawa	A model of portfolio optimization using time adapting genetic network programming.	Computers & OR	2010	DBLP DOI BibTeX RDF
1	K. P. Anagnostopoulos, G. Mamanis	A portfolio optimization model with three objectives and discrete variables.	Computers & OR	2010	DBLP DOI BibTeX RDF
1	Ronald Hochreiter	A note on evolutionary stochastic portfolio optimization and probabilistic constraints	CoRR	2010	DBLP BibTeX RDF
1	Takashi Shinzato, Muneki Yasuda	Belief Propagation Algorithm for Portfolio Optimization Problems	CoRR	2010	DBLP BibTeX RDF
1	Shashank Pushkar, Abhijit Mustafi, Akhileshwar Mishra	A Metaheuristic Approach for IT Projects Portfolio Optimization	CoRR	2010	DBLP BibTeX RDF
1	Indranil R. Bardhan, Robert J. Kauffman, Sanjeewa Naranpanawe	IT project portfolio optimization: A risk management approach to software development governance.	IBM Journal of Research and Development	2010	DBLP DOI BibTeX RDF
1	Xiaojiao Tong, Liqun Qi, Felix F. Wu, Hui Zhou	A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset.	Applied Mathematics and Computation	2010	DBLP DOI BibTeX RDF
1	N. C. Suganya, G. A. Vijayalakshmi Pai	Pareto-archived evolutionary wavelet network for financial constrained portfolio optimization.	Int. Syst. in Accounting, Finance and Management	2010	DBLP DOI BibTeX RDF
1	Hanhong Zhu, Yun Chen, Kesheng Wang	Swarm Intelligence Algorithms for Portfolio Optimization.	ICSI	2010	DBLP DOI BibTeX RDF
1	Yun Chen, Hanhong Zhu	PSO Heuristics Algorithm for Portfolio Optimization.	ICSI	2010	DBLP DOI BibTeX RDF
1	Yankui Liu, Xiaoli Wu	A Class of Fuzzy Portfolio Optimization Problems: E-S Models.	ICSI	2010	DBLP DOI BibTeX RDF
1	Thomas Kremmel, Jirí Kubalík, Stefan Biffl	Multiobjective evolutionary algorithm for software project portfolio optimization.	GECCO	2010	DBLP DOI BibTeX RDF	project portfolio management, evolutionary algorithms, multiobjective optimization
1	Ben Niu, Han Xiao, Lijing Tan, Yan Fan, Junjun Rao	Liquidity Risk Portfolio Optimization Using Swarm Intelligence.	ICIC	2010	DBLP DOI BibTeX RDF
1	Wlodzimierz Ogryczak, Tomasz Sliwinski	Efficient Portfolio Optimization with Conditional Value at Risk.	IMCSIT	2010	DBLP BibTeX RDF
1	Shiang-Tai Liu	Solving Portfolio Optimization Problem Based on Extension Principle.	IEA/AIE	2010	DBLP DOI BibTeX RDF
1	Hong Xu, Jin Jin, Baochun Li	A Channel Portfolio Optimization Framework for Trading in a Spectrum Secondary Market.	ICC	2010	DBLP DOI BibTeX RDF
1	Giorgos Giannakouris, Vassilios Vassiliadis, Georgios Dounias	Experimental Study on a Hybrid Nature-Inspired Algorithm for Financial Portfolio Optimization.	SETN	2010	DBLP DOI BibTeX RDF
1	Jianqiang Hu, Jun Tong, Tie Liu, Rongzeng Cao, Bo Yang	A two-level loan portfolio optimization problem.	Winter Simulation Conference	2010	DBLP DOI BibTeX RDF
1	Yuelin Gao, Bo Wang, Xiangping Quan, Jingke Zhou	A new multi-objective portfolio optimization model based on dual expected utility.	BIC-TA	2010	DBLP DOI BibTeX RDF
1	Yan Chen, Etsushi Ohkawa, Shingo Mabu, Kaoru Shimada, Kotaro Hirasawa	A portfolio optimization model using Genetic Network Programming with control nodes.	Expert Syst. Appl.	2009	DBLP DOI BibTeX RDF
1	Liang-Hsuan Chen, Lindsay Huang	Portfolio optimization of equity mutual funds with fuzzy return rates and risks.	Expert Syst. Appl.	2009	DBLP DOI BibTeX RDF
1	Tun-Jen Chang, Sang-Chin Yang, Kuang-Jung Chang	Portfolio optimization problems in different risk measures using genetic algorithm.	Expert Syst. Appl.	2009	DBLP DOI BibTeX RDF
1	Pierre Bonami, Miguel A. Lejeune	An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints.	Operations Research	2009	DBLP DOI BibTeX RDF
1	Jürgen Branke, B. Scheckenbach, Michael Stein, Kalyanmoy Deb, Hartmut Schmeck	Portfolio optimization with an envelope-based multi-objective evolutionary algorithm.	European Journal of Operational Research	2009	DBLP DOI BibTeX RDF
1	Gianfranco Guastaroba, Renata Mansini, Maria Grazia Speranza	On the effectiveness of scenario generation techniques in single-period portfolio optimization.	European Journal of Operational Research	2009	DBLP DOI BibTeX RDF
1	Victor DeMiguel, Lorenzo Garlappi, Francisco J. Nogales, Raman Uppal	A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms.	Management Science	2009	DBLP DOI BibTeX RDF
1	Fábio Darios Freitas, Alberto F. De Souza, Ailson R. de Almeida	Prediction-based portfolio optimization model using neural networks.	Neurocomputing	2009	DBLP DOI BibTeX RDF
1	Todor Stoilov, Krasimira Stoilova	Web based portfolio optimization.	CompSysTech	2009	DBLP DOI BibTeX RDF