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Journal articles
Enhancing Financial Portfolio Robustness with an Objective Based on ϵ-Neighborhoods
Abstract : Financial portfolio optimization is a challenging task. One of the major difficulties is managing the uncertainty arising from different aspects of the process. This paper suggests a solution based on ϵ-neighborhoods that, combined with a time-stamped resampling mechanism, increases the robustness of the solutions. The approach is tested on four of the most popular evolutionary multiobjective algorithms over a long period of time. This results in a significant enhancement in the reliability of the estimated efficient frontier.
Cited literature [38 references]
https://hal-cea.archives-ouvertes.fr/cea-01849801
Contributor : Léna Le Roy <>
Submitted on : Monday, January 7, 2019 - 4:06:56 PM
Last modification on : Monday, June 1, 2020 - 9:12:03 AM
Long-term archiving on: : Monday, April 8, 2019 - 4:59:12 PM
Contributor : Léna Le Roy <>
Submitted on : Monday, January 7, 2019 - 4:06:56 PM
Last modification on : Monday, June 1, 2020 - 9:12:03 AM
Long-term archiving on: : Monday, April 8, 2019 - 4:59:12 PM
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luna2016.pdf
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