An integrated portfolio optimisation procedure based on data envelopment analysis, artificial bee colony algorithm and genetic programming

DOI10.1080/00207721.2013.775388zbMath1317.91066OpenAlexW2166797334MaRDI QIDQ5499868

Chih-Ming Hsu

Publication date: 31 July 2015

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207721.2013.775388

zbMATH Keywords

data envelopment analysisgenetic programmingartificial bee colonyportfolio optimisation

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem ⋮ Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach ⋮ Genetic algorithms for optimizing two-stage DEA by considering unequal intermediate weights

Cites Work

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