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Constrained optimization in random simulation : efficient global optimization and Karush-Kuhn-Tucker conditions

Angün, Mevlüde Ebru; Kleijnen, Jack P. C. - 2023 - Revision of CentER DP 2022-022

Persistent link: https://www.econbiz.de/10014248363

Robust Optimization Using Computer Experiments

Stinstra, Erwin; den Hertog, Dick - 2006

robust with respect to these errors.We apply the robust counterpart theory of Ben-Tal and Nemirovsky to the most frequently …

Persistent link: https://www.econbiz.de/10014062463

Mean-Maximum Drawdown optimization of buy-and-hold portfolios using a multi-objective evolutionary algorithm

Drenovak, Mikica; Ranković, Vladimir; Urošević, Branko; … - In: Finance research letters 46 (2022) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10013341443

Continuous-time portfolio optimization for absolute return funds

Ieda, Masashi - In: Asia Pacific financial markets 29 (2022) 4, pp. 675-696

Persistent link: https://www.econbiz.de/10013397759

Learning-based multi-objective evolutionary algorithm for batching decision problem

Meng, Ying; Li, Tianyang; Tang, Lixin - In: Computers & operations research : and their … 149 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10013460779

Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns

Liu, Weilong; Zhang, Yong; Liu, Kailong; Quinn, Barry; … - 2023

With the advent of Big Data, managing large-scale portfolios of thousands of securities is one of the most challenging tasks in the asset management industry. This study uses an evolutionary multi objective technique to solve large-scale portfolio optimisation problems with both long-term listed...

Persistent link: https://www.econbiz.de/10014326003