Solving Portfolio Optimization Problems Using MOEA/D and Lévy Flight

DOI10.1142/S2424922X20500059OpenAlexW3134946766MaRDI QIDQ5066669

Claus Aranha, Yifan He

Publication date: 29 March 2022

Published in: Advances in Data Science and Adaptive Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2424922x20500059

zbMATH Keywords

portfolio optimizationMOEA/DLévy flight

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• JADE

Cites Work

• Unnamed Item
• Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
• Heuristics for cardinality constrained portfolio optimization
• A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
• Computational study of a family of mixed-integer quadratic programming problems
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

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