Abstract
In this paper, an evolutionary approach to portfolio optimization is proposed. In the approach, various risk measures are introduced instead of the classic risk measure defined by variance. In order to build the risk-optimal portfolio, three evolutionary algorithms based on evolution strategies are proposed. Evaluations of the approach is performed on financial time series from the Warsaw Stock Exchange. © Springer-Verlag Berlin Heidelberg 2007.
Author supplied keywords
Cite
CITATION STYLE
Lipinski, P., Winczura, K., & Wojcik, J. (2007). Building risk-optimal portfolio using evolutionary strategies. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 4448 LNCS, pp. 208–217). Springer Verlag. https://doi.org/10.1007/978-3-540-71805-5_23
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
