DOAM for Evolutionary Portfolio Optimization: a computational study

Gabriella Dellino, Mariagrazia Fedele () and Carlo Meloni

Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia

Abstract: 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.

Pages: 13 pages
Date: 2008-03
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.dsems.unifg.it/q052008.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ufg:qdsems:05-2008

Access Statistics for this paper

More papers in Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia Largo Papa Giovanni Paolo II, 1 -71100- Foggia (I). Contact information at EDIRC.
Bibliographic data for series maintained by Luca Grilli ().