Branke, J.; Scheckenbach, B.; Stein, M.; Deb, K.; … - In: European Journal of Operational Research 199 (2009) 3, pp. 684-693
The problem of portfolio selection is a standard problem in financial engineering and has received a lot of attention in recent decades. Classical mean-variance portfolio selection aims at simultaneously maximizing the expected return of the portfolio and minimizing portfolio variance. In the...