DOAM for Evolutionary Portfolio Optimization: a computational study.

In this work, the ability of the Dynamic Objectives Aggregation Methods to solve the portfolio rebalancing problem is investigated conducting a computational study on a set of instances based on real data. The portfolio model considers a set of realistic constraints and entails the simultaneously optimization of the risk on portfolio, the expected return and the transaction cost.

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Year of publication:	2008-03
Authors:	Dellino, Gabriella ; Fedele, Mariagrazia ; Meloni, Carlo
Institutions:	Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia

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Extent:	application/pdf
Series:	Quaderni DSEMS.
Type of publication:	Book / Working Paper
Language:	English
Notes:	13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005434733