Biogeography-Based Optimization of the Portfolio Optimization Problem with Second Order Stochastic Dominance Constraints
نویسندگان
چکیده
منابع مشابه
Biogeography-Based Optimization of the Portfolio Optimization Problem with Second Order Stochastic Dominance Constraints
The portfolio optimization problem is the central problem of modern economics and decision theory; there is the Mean-Variance Model and Stochastic Dominance Model for solving this problem. In this paper, based on the second order stochastic dominance constraints, we propose the improved biogeography-based optimization algorithm to optimize the portfolio, which we called εBBO. In order to test t...
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ژورنال
عنوان ژورنال: Algorithms
سال: 2017
ISSN: 1999-4893
DOI: 10.3390/a10030100