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Multi-period portfolio optimization with constraints and transaction costs
Investment combinatorial optimization the horizon assets minimum deviation standard dynamic
2015/8/10
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
portfolio optimization probabilistic constraints
2010/4/27
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
An effective decision-based genetic algorithm approach to multiobjective portfolio optimization problem
Multiobjective Portfolio Optimization Genetic Algorithm
2010/9/15
Multiobjective portfolio optimization problem is the portfolio process of the highest expected return among the various financial commodities of the capital market to meet the expected return objectiv...
Portfolio Optimization Model with Transaction Costs
Transaction cost portfolio optimization model
2007/12/11
The purpose of the article is to formulate, under the lX risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characte...