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Are cryptocurrencies cryptic or a source of arbitrage? : a genetic algorithm approach
Bewaji, Oluwasegun; Hamid, Sania; Aerts, Timothy; Byck, … - In: The journal of financial market infrastructures 11 (2023) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10014484591
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Portfolio optimization using a combined model of fuzzy network analytic process : an approach based on similarity and genetic algorithm
Jahromi, Mohammad Bahrani; Kamalzadeh, Sahar; Tajik, Hedayat - In: International journal of economics and finance 7 (2015) 8, pp. 88-102
Persistent link: https://www.econbiz.de/10011345978
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A surrogate similarity measure for the mean-variance frontier optimisation problem under bound and cardinality constraints
Guijarro Martinez, Francisco; Tsinaslanidis, Prodromos E. - In: Journal of the Operational Research Society 72 (2021) 3, pp. 564-579
Persistent link: https://www.econbiz.de/10012500970
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Investment portfolio optimization by applying a genetic algorithm-based approach
Dubinskas, Petras; Urbšienė, Laimutė - In: Mokslo darbai / Ekonomika 96 (2017) 2, pp. 66-78
Persistent link: https://www.econbiz.de/10012305089
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Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms
Chen, Yao-Tsung; Yang, Hao-Qun - In: International journal of computational economics and … 10 (2020) 3, pp. 209-221
Persistent link: https://www.econbiz.de/10012271054
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An investigation of portfolio optimization using modified NSGA-II algorithm
Mahapatra, Biplab; Mohapatra, Sanjay; Samanta, Biswajit; … - In: South Asian journal of management : SAJM 26 (2019) 4, pp. 133-150
Persistent link: https://www.econbiz.de/10012256011
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A genetic algorithm for investment–consumption optimization with value-at-risk constraint and information-processing cost
Jin, Zhuo; Yang, Zhixin; Yuan, Quan - In: Risks : open access journal 7 (2019) 1/32, pp. 1-15
This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the decision maker can dynamically monitor the exposed...
Persistent link: https://www.econbiz.de/10012015814
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A hybrid model for portfolio optimization based on stock clustering and different investment strategies
Goudarzi, Siamak; Jafari, Mohammad Javad; Afsar, Amir - In: International journal of economics and financial issues … 7 (2017) 3, pp. 602-608
Persistent link: https://www.econbiz.de/10011822909
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Research on the portfolio optimization model under quantitative constraint based on genetic algorithm
Zhu, Shunquan - In: Journal of mathematical finance 6 (2016) 4, pp. 465-470
Persistent link: https://www.econbiz.de/10011656876
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Multi-period project portfolio selection under risk considerations and stochastic income
Tofighian, Ali Asghar; Moezzi, Hamid; Barfuei, Morteza … - In: Journal of Industrial Engineering International 14 (2018) 3, pp. 571-584
then compared with well-known algorithms, like basic genetic algorithm (GA), particle swarm optimization (PSO), and …
Persistent link: https://www.econbiz.de/10011995855