Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules

Recent work has been devoted to study the use of multiobjective evolutionary algorithms (MOEAs) in stock portfolio optimization, within a common mean-variance framework. This article proposes the use of a more appropriate framework, mean-semivariance framework, which takes into account only adverse...

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Bibliographic Details
Main Author: Macedo, Luís Lobato (author)
Other Authors: Godinho, Pedro (author), Alves, Maria João (author)
Format: article
Language:eng
Published: 2017
Subjects:
Multiobjective optimization
Evolutionary algorithms
Stock portfolio
Mean-semivariance
Technical analysis
Online Access:http://hdl.handle.net/10316/45579
Country:Portugal
Oai:oai:estudogeral.sib.uc.pt:10316/45579

Internet

http://hdl.handle.net/10316/45579

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