A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures
Year of publication: |
2024
|
---|---|
Authors: | Kaucic, Massimiliano ; Piccotto, Filippo ; Sbaiz, Gabriele |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 21.2024, 1, Art.-No. 6, p. 1-29
|
Subject: | Dynamic level-based learning swarm optimizer | Hybrid constraint-handling | Large-scale optimization | Multi-moment portfolio management | Primary 90C59 | Secondary 91G10 | Sharpe ratio | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Algorithmus | Algorithm |
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