A hybrid combinatorial approach to a two-stage stochastic portfolio optimization model with uncertain asset prices

A hybrid combinatorial approach to a two-stage stochastic portfolio optimization model with uncertain asset prices

Portfolio optimization is one of the most important problems in the finance field. The traditional Markowitz mean-variance model is often unrealistic since it relies on the perfect market information. In this work, we propose a two-stage stochastic portfolio optimization model with a comprehensive s...

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Bibliographic Details
Main Authors: Cui, Tianxiang, Bai, Ruibin, Ding, Shusheng, Parkes, Andrew J., Qu, Rong, He, Fang, Li, Jingpeng
Format: Article
Language:English
Published: Springer Nature 2020
Subjects:
Hybrid Algorithm; Combinatorial Approach; Stochastic Programming; Population-based Incremental Learning; Local Search; Learning Inheritance; Portfolio Optimization Problem
Online Access:https://eprints.nottingham.ac.uk/60468/

Internet

https://eprints.nottingham.ac.uk/60468/

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