SINGLE OBJECTIVE AND BIOBJECTIVE PORTFOLIO OPTIMIZATION WITH MEAN VARIANCE AS RISK MEASURE USING DIFFERENTIAL EVOLUTION ALGORITHM
Portfolio optimization is an activity to balance between return and risk. In this thesis we concern with mean variance as risk measure for portfolio optimization. For single objective portfolio optimization problem, minimizing risk of portfolio will be used several constraints such as buy in thresho...
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/33759 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |