Concepedia

Stock portfolio optimization based on factor analysis and second-order memetic differential evolution algorithm

Ning Han, Yinnan Chen, Lingjuan Ye, Xinchao Zhao

Memetic Computing · 2024 · 14 citations · 27 references

DOI

Concepts

References

27

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

, , +17

Conditional value-at-risk for general loss distributions

R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations

, , +14

Recent advances in differential evolution – An updated survey

Swagatam Das, Sankha Subhra Mullick, Ponnuthurai Nagaratnam Suganthan · Swarm and Evolutionary Computation · 2016 · 1.6K citations

, , +8

An Overview of Value at Risk

Darrell Duffie, Jun Pan · The Journal of Derivatives · 1997 · 1.3K citations

, , +10

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization · 2000 · 1.1K citations

, , +14