Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures
Abstract In this study, we analyze three portfolio selection strategies for loss-averse investors: semi-variance, conditional value-at-risk, and a combination of both risk measures. Moreover, we propose a novel version of the non-dominated sorting genetic algorithm II and of the strength Pareto evol...
| Հիմնական հեղինակներ: | , , |
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| Ձևաչափ: | Հոդված |
| Լեզու: | English |
| Հրապարակվել է: |
SpringerOpen
2019-06-01
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| Շարք: | Financial Innovation |
| Խորագրեր: | |
| Առցանց հասանելիություն: | http://link.springer.com/article/10.1186/s40854-019-0140-6 |