Baixauli-Soler, J. Samuel; Alfaro-Cid, Eva; … - In: Investigaciones Europeas de Dirección y Economía de … 18 (2012) 2, pp. 126-131
Genetic algorithms (GAs) are appropriate when investors have the objective of obtaining mean-variance (VaR) efficient frontier as minimising VaR leads to non-convex and non-differential risk-return optimisation problems. However GAs are a time-consuming optimisation technique. In this paper, we...