Time-stamped resampling for robust evolutionary portfolio optimization
نویسندگان
چکیده
منابع مشابه
Time-stamped resampling for robust evolutionary portfolio optimization
Traditional mean-variance financial portfolio optimization is based on two sets of parameters, estimates for the asset returns and the variance-covariance matrix. The allocations resulting from both traditional methods and heuristics are very dependent on these values. Given the unreliability of these forecasts, the expected risk and return for the portfolios in the efficient frontier often dif...
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ژورنال
عنوان ژورنال: Expert Systems with Applications
سال: 2012
ISSN: 0957-4174
DOI: 10.1016/j.eswa.2012.02.195