Portfolio optimization considering cardinality constraints and based on various risk factors using the differential evolution algorithm

2024/12/24 by Ghadimi, Behnaz, Minooei, Mehrzad, Zomorodian, Gholamreza +1
#Cardinality constraint #Conditional Value-at-Risk #Differential evolution algorithm #Portfolio optimization #Value-at-risk

paper · doi:10.71716/amfa.2024.22011688

Abstract

Advances in Mathematical Finance and Applications,9(2),424

Related

• Kelly's Criterion in Portfolio Optimization: A Decoupled Problem
• A Relaxed Optimization Approach for Cardinality-Constrained Portfolio\n Optimization
• Using Column Generation to Solve Extensions to the Markowitz Model
• Metaheuristic Approaches to Realistic Portfolio Optimization
• Cardinality-constrained Distributionally Robust Portfolio Optimization