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Multi-period portfolio optimization: A parallel NSGA-III algorithm with real-world constraints
Journal article
Qian, Yihe, Wang, Jinpeng. Multi-period portfolio optimization: A parallel NSGA-III algorithm with real-world constraints[J]. Finance Research Letters, 2024, 60, 104868.
Authors:
Qian, Yihe
;
Wang, Jinpeng
Favorite
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TC[WOS]:
0
TC[Scopus]:
0
IF:
7.4
/
7.6
|
Submit date：2024/02/22
Genetic Algorithm
Portfolio Optimization
Risk Management
Stochastic Maximum Principle Under Probability Distortion
Journal article
Liang, Qizhu, Xiong, Jie. Stochastic Maximum Principle Under Probability Distortion[J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 83(3), 2109 - 2128.
Authors:
Liang, Qizhu
;
Xiong, Jie
Favorite
|
TC[WOS]:
2
TC[Scopus]:
2
IF:
1.6
/
1.8
|
Submit date：2021/12/08
Behavioral Portfolio Optimization
Cumulative Prospective Theory
Stochastic Maximum Principle
Probability Distortion
S-shaped Utility Function
