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Mean-variance-skewness portfolio optimization under uncertain environment using improved genetic algorithm
16 references·1 citing·45 second hop
Mean-variance-skewness portfolio optimization under uncertain environment using improved genetic algorithm (2021)Mean-variance-skewness portfolio optimiza…Portfolio optimization with entropic value-at-risk (2019)Portfolio optimization with e…Stock market's price movement prediction with LSTM neural networks (2017)Stock market's price movement…Multi-period mean–variance fuzzy portfolio optimization model with transaction costs (2017)Multi-period mean–variance fu…Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules (2017)Mean-semivariance portfolio o…Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels (2016)Credibilistic mean-entropy mo…A LSTM-based method for stock returns prediction: A case study of China stock market (2015)A LSTM-based method for stock…A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)A possibilistic mean-semivari…Entropic Value-at-Risk: A New Coherent Risk Measure (2011)Entropic Value-at-Risk: A New…Portfolio selection with higher moments (2010)Portfolio selection with high…Mean-risk model for uncertain portfolio selection (2010)Mean-risk model for uncertain…Forecasting stock markets using wavelet transforms and recurrent neural networks: An integrated system based on artificial bee colony algorithm (2010)Forecasting stock markets usi…Prediction-based portfolio optimization model using neural networks (2009)Prediction-based portfolio op…Portfolio optimization problems in different risk measures using genetic algorithm (2009)Portfolio optimization proble…Multi-objective possibilistic model for portfolio selection with transaction cost (2008)Multi-objective possibilistic…Possibilistic mean–variance models and efficient frontiers for portfolio selection problem (2007)Possibilistic mean–variance m…Coherent Measures of Risk (1999)Coherent Measures of RiskMulti-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity (2022)Multi-period portfolio select…Portfolio Selection (1952)Portfolio Selection: Efficient Diversification of Investments (1959)Fuzzy sets (1965)A two-phase possibilistic linear programming methodology for multi-objective supplier evaluation and order allocation problems (2007)A novel robust fuzzy stochastic programming for closed loop supply chain network design under hybrid uncertainty (2017)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Stochastic Programming (2017)From Data to Decisions: Distributionally Robust Optimization Is Optimal (2020)Resilience and sustainable supply chain network design by considering renewable energy (2021)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)A hybrid fuzzy rule-based multi-criteria framework for sustainable project portfolio selection (2012)Prediction-Based Portfolio Optimization Models Using Deep Neural Networks (2020)Prediction based mean-value-at-risk portfolio optimization using machine learning regression algorithms for multi-national stock markets (2023)PORTFOLIO SELECTION* (1952)Fuzzy sets (1996)A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)Fuzzy multi-period portfolio selection with different investment horizons (2016)Forecasting enrollments based on fuzzy time series (1996)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Genetic Algorithm-Optimized Long Short-Term Memory Network for Stock Market Prediction (2018)Combining Principal Component Analysis, Discrete Wavelet Transform and XGBoost to trade in the financial markets (2019)Systematic analysis and review of stock market prediction techniques (2019)Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments. 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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2017Stock market's price movement prediction with LSTM neural networks943 cited
  • 2015A LSTM-based method for stock returns prediction: A case study of China stock market734 cited
  • 2010Portfolio selection with higher moments535 cited
  • 2010Forecasting stock markets using wavelet transforms and recurrent neural networks: An integrated system based on artificial bee colony algorithm399 cited
  • 2009Portfolio optimization problems in different risk measures using genetic algorithm288 cited
  • 2011Entropic Value-at-Risk: A New Coherent Risk Measure277 cited
  • 2009Prediction-based portfolio optimization model using neural networks171 cited
  • 2012A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs167 cited
  • 2007Possibilistic mean–variance models and efficient frontiers for portfolio selection problem140 cited
  • 2008Multi-objective possibilistic model for portfolio selection with transaction cost122 cited
  • 2017Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules108 cited
  • 2010Mean-risk model for uncertain portfolio selection105 cited
  • 2016Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels

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95 cited
  • 2019Portfolio optimization with entropic value-at-risk94 cited
  • 2017Multi-period mean–variance fuzzy portfolio optimization model with transaction costs88 cited
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    • 2022Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity37 cited