Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
type: Item
instance of: scholarly article
title: Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
zbMATH Open document ID: 1419.91587
published in: Annals of Operations Research
publication date: 2019-03-06T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 68T20
zbMATH DE Number: 7032639
zbMATH Keywords: information
zbMATH Keywords: fuzzy systems
zbMATH Keywords: portfolio optimization
zbMATH Keywords: evolutionary algorithms
cites work: Omni-optimizer
cites work: Robust multiperiod portfolio management in the presence of transaction costs
cites work: Note—Naive Diversification and Portfolio Risk—A Note
cites work: Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier
cites work: On possibilistic mean value and variance of fuzzy numbers
cites work: Linear vs. quadratic portfolio selection models with hard real-world constraints
cites work: Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
cites work: Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
cites work: Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
cites work: A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
cites work: Omni-optimizer: a generic evolutionary algorithm for single and multi-objective optimization
cites work: Portfolio optimization when risk factors are conditionally varying and heavy tailed
cites work: Robust portfolios: contributions from operations research and finance
cites work: A stochastic programming approach for multi-period portfolio optimization
cites work: Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints
cites work: Fuzzy portfolio optimization. Advances in hybrid multi-criteria methodologies
cites work: Expected value multiobjective portfolio rebalancing model with fuzzy parameters
cites work: Minimax mean-variance models for fuzzy portfolio selection
cites work: Risk preference modeling with conditional average: An application to portfolio optimization
cites work: Portfolio optimization with a copula-based extension of conditional value-at-risk
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: An expected regret minimization portfolio selection model
cites work: A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
cites work: Fuzzy portfolio optimization model under real constraints
cites work: Fuzzy multi-period portfolio selection optimization models using multiple criteria
cites work: Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
cites work: Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection
cites work: Stochastic Network Programming for Financial Planning Problems
cites work: Intertemporal surplus management
cites work: The possibilistic moments of fuzzy numbers and their applications
cites work: Fuzzy portfolio optimization under downside risk measures
cites work: Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
cites work: Fuzzy sets as a basis for a theory of possibility
cites work: Q5445734
cites work: Dynamic models for fixed-income portfolio management under uncertainty
cites work: Mean-absolute deviation portfolio optimization for mortgage-backed securities
cites work: A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
cites work: Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
cites work: Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
describes a project that uses: Omni-optimizer
describes a project that uses: MOEA/D
author: Konstantinos Liagkouras
author: Konstantinos Metaxiotis
MaRDI profile type: Publication
full work available at URL: s10479-018-2876-1
OpenAlex ID: W2801856405
Wikidata QID: Q129858780
DOI: 10.1007/S10479-018-2876-1
description: scientific article; zbMATH DE number 7032639