A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures
Massimiliano Kaucic, Filippo Piccotto, Gabriele Sbaiz
| Year of publication: |
2024
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|---|---|
| Authors: | Kaucic, Massimiliano ; Piccotto, Filippo ; Sbaiz, Gabriele |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 21.2024, 1, Art.-No. 6, p. 1-29
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| Subject: | Dynamic level-based learning swarm optimizer | Hybrid constraint-handling | Large-scale optimization | Multi-moment portfolio management | Primary 90C59 | Secondary 91G10 | Sharpe ratio | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Algorithmus | Algorithm | Performance-Messung | Performance measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-023-00483-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014442612