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.
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Lipinski, P., Winczura, K., Wojcik, J. (2007). Building Risk-Optimal Portfolio Using Evolutionary Strategies. In: Giacobini, M. (eds) Applications of Evolutionary Computing. EvoWorkshops 2007. Lecture Notes in Computer Science, vol 4448. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-71805-5_23
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DOI: https://doi.org/10.1007/978-3-540-71805-5_23
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-71804-8
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