Evolutionary Computation for Modelling and Optimization in Finance

DOI10.1007/978-3-7908-2604-3_24zbMath1436.62500OpenAlexW66553831MaRDI QIDQ3298472

Sandra Paterlini

Publication date: 14 July 2020

Published in: Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2604-3_24

zbMATH Keywords

multi-objective optimizationclusteringpopulation-based algorithmscredit risk modellingfinancial portfolio optimization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

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• Heuristics for cardinality constrained portfolio optimization
• Differential evolution and combinatorial search for constrained index-tracking
• Optimization heuristics for determining internal rating grading scales
• A portfolio optimization model with three objectives and discrete variables

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