Portfolio implementation risk management using evolutionary multiobjective optimization

Portfoliomanagementbasedonmean-varianceportfoliooptimizationissubjecttodifferent sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementation risk. The potential temporary discrepancybetweentarg...

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Bibliographic Details
Main Author: Quintana, David (author)
Other Authors: Denysiuk, Roman (author), Garcia-Rodriguez, Sandra (author), Gaspar-Cunha, A. (author)
Format: article
Language:eng
Published: 2017
Subjects:
robustness
multi-objective optimization
evolutionary computation
portfolio optimization
Ciências Naturais::Ciências da Computação e da Informação
Science & Technology
Online Access:http://hdl.handle.net/1822/53022
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/53022

Internet

http://hdl.handle.net/1822/53022

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