Asset portfolio optimization using support vector machines and real-coded genetic algorithm

DOI10.1007/s10898-011-9692-3zbMath1254.90083OpenAlexW2067754665MaRDI QIDQ454264

Mukesh Kumar Mehlawat, Garima Mittal, Pankaj Gupta

Publication date: 1 October 2012

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-011-9692-3

zbMATH Keywords

portfolio optimizationsupport vector machinesreal-coded genetic algorithm

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

Related Items (4)

A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts ⋮ Multiobjective expected value model for portfolio selection in fuzzy environment ⋮ Expected value multiobjective portfolio rebalancing model with fuzzy parameters ⋮ An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models

Uses Software

• LIBSVM

Cites Work

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• Asset portfolio optimization using fuzzy mathematical programming
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• Asymptotic Behaviors of Support Vector Machines with Gaussian Kernel
• A fuzzy goal programming approach to portfolio selection

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