Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementation risk. The potential temporary discrepancy...

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Bibliographic Details
Main Authors: David Quintana, Roman Denysiuk, Sandra Garcia-Rodriguez, António Gaspar-Cunha
Format: Article
Language:English
Published: MDPI AG 2017-10-01
Series:Applied Sciences
Subjects:
evolutionary computation
multiobjective optimization
portfolio optimization
robustness
Online Access:https://www.mdpi.com/2076-3417/7/10/1079

Internet

https://www.mdpi.com/2076-3417/7/10/1079

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