STOCK PORTFOLIO OPTIMIZATION FOR SEVERAL RISK MEASURES WITH A MULTI-OBJECTIVE APPROACH USING DIFFERENTIAL EVOLUTION ALGORITHM
This thesis discusses two different risk measurement models, Mean Variance model and Mean Absolute Deviation model, that are solved using the Differential Evolution algorithm. The constraints used in single objective portfolio optimization problem are Buy-In threshold, Cardinality and Roundlot. Mult...
Saved in:
| Main Author: | |
|---|---|
| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/45147 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |