Systematic Initialization Approaches for Portfolio Optimization Problems
نویسندگان
چکیده
منابع مشابه
Heuristic Approaches for Portfolio Optimization y
Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which di er from the mean-variance optimum. The resulting optimization problem can become quite complex as it exhibits multiple local extrema and discontinuities, in particular if we also introduce constraints restricting the trading variables to be integers...
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ژورنال
عنوان ژورنال: IEEE Access
سال: 2019
ISSN: 2169-3536
DOI: 10.1109/access.2019.2914115