A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures
DOI10.1007/s10287-023-00483-xOpenAlexW4388499113MaRDI QIDQ6149571
Gabriele Sbaiz, Massimiliano Kaucic, Filippo Piccotto
Publication date: 6 February 2024
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-023-00483-x
large-scale optimizationSharpe ratiohybrid constraint-handlingdynamic level-based learning swarm optimizermulti-moment portfolio management
Evolutionary algorithms, genetic algorithms (computational aspects) (68W50) Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Operations research and management science (90Bxx)
Cites Work
- A social learning particle swarm optimization algorithm for scalable optimization
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Particle swarm optimization approach to portfolio optimization
- A mean-absolute deviation-skewness portfolio optimization model
- Movement patterns of a particle swarm in high dimensional spaces
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- Dealing with complex transaction costs in portfolio management
- A novel hybrid PSO-based metaheuristic for costly portfolio selection problems
- Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
- Mean-variance-skewness model for portfolio selection with transaction costs
- The Stationary Bootstrap
- Automatic Block-Length Selection for the Dependent Bootstrap
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- A hybrid level-based learning swarm algorithm with mutation operator for solving large-scale cardinality-constrained portfolio optimization problems
This page was built for publication: A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures
