Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization

DOI10.1016/j.cor.2019.05.014zbMath1458.91195OpenAlexW2945427943WikidataQ127854107 ScholiaQ127854107MaRDI QIDQ2003588

Massimiliano Kaucic

Publication date: 9 July 2019

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2019.05.014

zbMATH Keywords

portfolio optimizationcardinality constraintMOPSOrisk parityhybrid constraint-handling

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (4)

Cardinality-constrained risk parity portfolios ⋮ On convergence analysis of multi-objective particle swarm optimization algorithm ⋮ Adaptive evolutionary algorithms for portfolio selection problems ⋮ Risk-allocation-based index tracking

Uses Software

• weightedHypervolume
• Performance Assessment

Cites Work

• Unnamed Item
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• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
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• Theory of the hypervolume indicator
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• Convergence of a block coordinate descent method for nondifferentiable minimization

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