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FSS
2002
84views more  FSS 2002»
10 years 3 months ago
A possibilistic approach to selecting portfolios with highest utility score
The mean-variance methodology for the portfolio selection problem, originally proposed by Markowitz, has been one of the most important research fields in modern finance. In this ...
Christer Carlsson, Robert Fullér, Pé...
COR
2007
134views more  COR 2007»
10 years 4 months ago
Portfolio selection using neural networks
In this paper we apply a heuristic method based on artificial neural networks (NN) in order to trace out the efficient frontier associated to the portfolio selection problem. We...
Alberto Fernández, Sergio Gómez
EOR
2008
70views more  EOR 2008»
10 years 4 months ago
Robust portfolio selection based on a multi-stage scenario tree
The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...
Ruijun Shen, Shuzhong Zhang
GECCO
2004
Springer
131views Optimization» more  GECCO 2004»
10 years 9 months ago
Comparing Discrete and Continuous Genotypes on the Constrained Portfolio Selection Problem
In financial engineering the problem of portfolio selection has drawn much attention in the last decades. But still unsolved problems remain, while on the one hand the type of mod...
Felix Streichert, Holger Ulmer, Andreas Zell
CASDMKM
2004
Springer
131views Data Mining» more  CASDMKM 2004»
10 years 9 months ago
XML-Based Schemes for Business Project Portfolio Selection
Abstract. Many methodologies have been introduced to deal with project portfolio selection problem including some techniques that help to evaluate individual projects, or to select...
Jichang Dong, Kin Keung Lai, Shouyang Wang
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