@inproceedings{dbd2240f11944985a5e4796e8c706ce9,
title = "An evolutionary algorithm with a new operator and an adaptive strategy for large-scale portfolio problems",
abstract = "A portfolio optimization problem involves optimal allocation of finite capital to a series of assets to achieve an acceptable trade-off between profit and risk in a given investment period. In the paper, the extended Markowitz's mean-variance portfolio optimization model is studied with some practical constraints. We introduce a new operator and an adaptive strategy for improving the performance of the multi-dimensional mapping algorithm (MDM) proposed specially for the portfolio optimization. Experimental results show that the modification is efficient on tackling large-scale portfolio problems.",
keywords = "Coding scheme, Constraint handling, Mixed variables, Multi-objective portfolio optimization",
author = "Yi Chen and Aimin Zhou and Liang Dou",
note = "Publisher Copyright: {\textcopyright} 2018 Copyright held by the owner/author(s).; 2018 Genetic and Evolutionary Computation Conference, GECCO 2018 ; Conference date: 15-07-2018 Through 19-07-2018",
year = "2018",
month = jul,
day = "6",
doi = "10.1145/3205651.3205712",
language = "英语",
series = "GECCO 2018 Companion - Proceedings of the 2018 Genetic and Evolutionary Computation Conference Companion",
publisher = "Association for Computing Machinery, Inc",
pages = "247--248",
booktitle = "GECCO 2018 Companion - Proceedings of the 2018 Genetic and Evolutionary Computation Conference Companion",
}