Portfolio Optimization Using Particle Swarms with Stripes
保存先:
| 著者: | |
|---|---|
| フォーマット: | artículo original |
| 状態: | Versión publicada |
| 出版日付: | 2009 |
| その他の書誌記述: | In this paper it is consider the Portfolio Optimization Problem developed by Markowitz [11]. The basic assumption is that the investor tries to maximize his/her profit and at the same time, wants to minimize the risk. This problem is usually solved using a scalarization approach (with one objective). Here it is solved it as a bi-objective optimization problem. It uses a new version of the algorithm of Particle Swarm Optimization for Multi-Objective Problems to which it implemented a method of the stripes to improve dispersion. |
| 国: | Portal de Revistas UCR |
| 機関: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| 言語: | Español |
| OAI Identifier: | oai:archivo.portal.ucr.ac.cr:article/301 |
| オンライン･アクセス: | https://archivo.revistas.ucr.ac.cr/index.php/matematica/article/view/301 |
| キーワード: | Portfolio optimization particle swarm optimization multiobjetive optimization Optimización de portafolios optimización por enjambre de partículas multiobjetivo optimización |