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Portfolio Optimization Problem: A Taxonomic Review of Solution Methodologies
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Multi-Objective Optimization
inferredcites →https://doi.org/10.1007/978-3-319-61833-3_9openalex-snapshot
Metaheuristics for Portfolio Optimization
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A hybrid FA–SA algorithm for fuzzy portfolio selection with transaction costs
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A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
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Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
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Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
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A hybrid algorithm for constrained portfolio selection problems
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A risk index model for portfolio selection with returns subject to experts’ estimations
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Multi-period mean-semi-entropy portfolio management with transaction costs and bankruptcy control
inferredcites →https://doi.org/10.1016/j.asoc.2017.09.025openalex-snapshot
Multi-objective heuristic algorithms for practical portfolio optimization and rebalancing with transaction cost
inferredcites →https://doi.org/10.1016/j.asoc.2018.09.006openalex-snapshot
A fuzzy goal programming model in portfolio selection under competitive-cum-compensatory decision strategies
inferredcites →https://doi.org/10.1016/j.asoc.2018.11.011openalex-snapshot
A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms
inferredcites →https://doi.org/10.1016/j.asoc.2019.105781openalex-snapshot
A polynomial goal programming approach for intuitionistic fuzzy portfolio optimization using entropy and higher moments
inferredcites →https://doi.org/10.1016/j.asoc.2020.106894openalex-snapshot
QPSO algorithm based on Lévy flight and its application in fuzzy portfolio
inferredcites →https://doi.org/10.1016/j.asoc.2020.106943openalex-snapshot
Mean–variance portfolio optimization using machine learning-based stock price prediction
inferredcites →https://doi.org/10.1016/j.asoc.2021.107519openalex-snapshot
Multi-period uncertain portfolio optimization model with minimum transaction lots and dynamic risk preference
inferredcites →https://doi.org/10.1016/j.asoc.2021.107767openalex-snapshot
Time-varying Black–Litterman portfolio optimization using a bio-inspired approach and neuronets
inferredcites →https://doi.org/10.1016/j.asoc.2021.108104openalex-snapshot
Multi-period portfolio selection under the coherent fuzzy environment with dynamic risk-tolerance and expected-return levels
inferredcites →https://doi.org/10.1016/j.cie.2015.10.009openalex-snapshot
A GRASP based solution approach to solve cardinality constrained portfolio optimization problems
inferredcites →https://doi.org/10.1016/j.cie.2018.07.044openalex-snapshot
The research and comparison of multi-objective portfolio based on intuitionistic fuzzy optimization
inferredcites →https://doi.org/10.1016/j.compchemeng.2011.09.018openalex-snapshot
An efficient constraint handling method with integrated differential evolution for numerical and engineering optimization
inferredcites →https://doi.org/10.1016/j.cor.2019.05.014openalex-snapshot
Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
inferredcites →https://doi.org/10.1016/j.cor.2021.105331openalex-snapshot
A risk index model for uncertain portfolio selection with background risk
inferredcites →https://doi.org/10.1016/j.cor.2021.105631openalex-snapshot
A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
inferredcites →https://doi.org/10.1016/j.cor.2022.105701openalex-snapshot
A combinatorial optimization approach to scenario filtering in portfolio selection
inferredcites →https://doi.org/10.1016/j.ejor.2013.09.040openalex-snapshot
Financial portfolio management through the goal programming model: Current state-of-the-art
inferredcites →https://doi.org/10.1016/j.ejor.2014.10.061openalex-snapshot
A multi-period fuzzy portfolio optimization model with minimum transaction lots
inferredcites →https://doi.org/10.1016/j.ejor.2015.03.017openalex-snapshot
Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
inferredcites →https://doi.org/10.1016/j.ejor.2017.09.009openalex-snapshot
Computing near-optimal Value-at-Risk portfolios using integer programming techniques
inferredcites →https://doi.org/10.1016/j.engappai.2017.10.010openalex-snapshot
Multi-period mean–variance fuzzy portfolio optimization model with transaction costs
inferredcites →https://doi.org/10.1016/j.eswa.2011.04.233openalex-snapshot
The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms
inferredcites →https://doi.org/10.1016/j.eswa.2011.09.129openalex-snapshot
Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization
inferredcites →https://doi.org/10.1016/j.eswa.2017.05.018openalex-snapshot
An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization
inferredcites →https://doi.org/10.1016/j.eswa.2017.10.056openalex-snapshot
A polynomial goal programming model for portfolio optimization based on entropy and higher moments
inferredcites →https://doi.org/10.1016/j.eswa.2018.02.004openalex-snapshot
Robust multiobjective portfolio with higher moments
inferredcites →https://doi.org/10.1016/j.eswa.2018.08.003openalex-snapshot
Decision-making for financial trading: A fusion approach of machine learning and portfolio selection
inferredcites →https://doi.org/10.1016/j.eswa.2019.02.011openalex-snapshot
A comprehensive review of deterministic models and applications for mean-variance portfolio optimization
inferredcites →https://doi.org/10.1016/j.eswa.2019.03.041openalex-snapshot
A hybrid approach for generating investor views in Black–Litterman model
inferredcites →https://doi.org/10.1016/j.eswa.2019.05.018openalex-snapshot
A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems
inferredcites →https://doi.org/10.1016/j.eswa.2019.05.046openalex-snapshot
Evolutionary multi-objective optimization for multivariate pairs trading
inferredcites →https://doi.org/10.1016/j.eswa.2019.112891openalex-snapshot
Continuous control with Stacked Deep Dynamic Recurrent Reinforcement Learning for portfolio optimization
inferredcites →https://doi.org/10.1016/j.eswa.2019.113032openalex-snapshot
A new methodology for multi-period portfolio selection based on the risk measure of lower partial moments
inferredcites →https://doi.org/10.1016/j.eswa.2019.113042openalex-snapshot
Portfolio formation with preselection using deep learning from long-term financial data
inferredcites →https://doi.org/10.1016/j.eswa.2019.113104openalex-snapshot
A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange
inferredcites →https://doi.org/10.1016/j.eswa.2020.113527openalex-snapshot
Multi-attribute decision making applied to financial portfolio optimization problem
inferredcites →https://doi.org/10.1016/j.eswa.2020.113973openalex-snapshot
Portfolio optimization with return prediction using deep learning and machine learning
inferredcites →https://doi.org/10.1016/j.eswa.2020.114135openalex-snapshot
Multi-period portfolio optimization using coherent fuzzy numbers in a credibilistic environment
inferredcites →https://doi.org/10.1016/j.eswa.2020.114517openalex-snapshot
A hybrid approach to cardinality constraint portfolio selection problem based on nonlinear neural network and genetic algorithm
inferredcites →https://doi.org/10.1016/j.eswa.2021.114968openalex-snapshot
Squirrel search algorithm for portfolio optimization
inferredcites →https://doi.org/10.1016/j.eswa.2021.115060openalex-snapshot
Robo-advisor using genetic algorithm and BERT sentiments from tweets for hybrid portfolio optimisation
inferredcites →https://doi.org/10.1016/j.eswa.2021.115687openalex-snapshot
Performance analysis of the integration between Portfolio Optimization and Technical Analysis strategies in the Brazilian stock market
inferredcites →https://doi.org/10.1016/j.eswa.2021.115822openalex-snapshot
An automatic trading system for fuzzy portfolio optimization problem with sell orders
inferredcites →https://doi.org/10.1016/j.eswa.2022.116631openalex-snapshot
Non-linear Activated Beetle Antennae Search: A novel technique for non-convex tax-aware portfolio optimization problem
inferredcites →https://doi.org/10.1016/j.fss.2006.10.026openalex-snapshot
Fuzzy portfolio optimization under downside risk measures
inferredcites →https://doi.org/10.1016/j.ins.2021.03.019openalex-snapshot
Portfolio optimization using higher moments in an uncertain random environment
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.007openalex-snapshot
Time varying risk aversion
inferredcites →https://doi.org/10.1016/j.knosys.2020.105944openalex-snapshot
A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization
inferredcites →https://doi.org/10.1016/j.knosys.2021.107505openalex-snapshot
A rapidly converging artificial bee colony algorithm for portfolio optimization
inferredcites →https://doi.org/10.1016/j.nonrwa.2008.04.023openalex-snapshot
Particle swarm optimization approach to portfolio optimization
inferredcites →https://doi.org/10.1016/j.swevo.2018.02.013openalex-snapshot
A novel nature-inspired algorithm for optimization: Squirrel search algorithm
inferredcites →https://doi.org/10.1016/j.swevo.2020.100662openalex-snapshot
An efficient hybrid metaheuristic algorithm for cardinality constrained portfolio optimization
inferredcites →https://doi.org/10.1016/s0045-7825(99)00389-8openalex-snapshot
An efficient constraint handling method for genetic algorithms
inferredcites →https://doi.org/10.1016/s0305-0548(99)00074-xopenalex-snapshot
Heuristics for cardinality constrained portfolio optimisation
inferredcites →https://doi.org/10.1057/jors.1990.166openalex-snapshot
OR-Library: Distributing Test Problems by Electronic Mail
inferredcites →https://doi.org/10.1109/4235.996017openalex-snapshot
A fast and elitist multiobjective genetic algorithm: NSGA-II
inferredcites →https://doi.org/10.1109/access.2020.2982195openalex-snapshot
Optimal Portfolio Management for Engineering Problems Using Nonconvex Cardinality Constraint: A Computing Perspective
inferredcites →https://doi.org/10.1109/access.2022.3177280openalex-snapshot
A Survey of the Nurse Rostering Solution Methodologies: The State-of-the-Art and Emerging Trends
inferredcites →https://doi.org/10.1109/access.2022.3186097openalex-snapshot
A 2-Stage Approach for the Nurse Rostering Problem
inferredcites →https://doi.org/10.1109/cec.2007.4424514openalex-snapshot
Portfolio optimization using multi-obj ective genetic algorithms
inferredcites →https://doi.org/10.1109/tase.2021.3097778openalex-snapshot
Population-Based Iterated Local Search Approach for Dynamic Vehicle Routing Problems
inferredcites →https://doi.org/10.1109/tevc.2003.810758openalex-snapshot
Performance assessment of multiobjective optimizers: an analysis and review
inferredcites →https://doi.org/10.1109/tevc.2008.2009032openalex-snapshot
Constraint Handling in Multiobjective Evolutionary Optimization
inferredcites →https://doi.org/10.1109/tfuzz.2015.2404340openalex-snapshot
Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection
inferredcites →https://doi.org/10.1287/mnsc.37.5.519openalex-snapshot
Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
inferredcites →https://doi.org/10.1287/mnsc.44.5.673openalex-snapshot
A Minimax Portfolio Selection Rule with Linear Programming Solution
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-snapshot
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.48550/arxiv.cond-mat/0501057openalex-snapshot
Metaheuristic Approaches to Realistic Portfolio Optimization
inferredcites →https://doi.org/10.5267/j.ijiec.2011.01.004openalex-snapshot
A new IPSO-SA approach for cardinality constrained portfolio optimization
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Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Portfolio Optimization: A Systematic and Bibliometric Literature Review
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Non-Dominated Tournament Genetic Algorithm (Ntga2) for Multi-Objective Constrained Portfolio Optimisation on Global Market
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TODIM with XGBOOST and MVO metaheuristic approach for portfolio optimization
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A Novel Directional Selective Lévy Flight-Based Beagle Optimization for Diversified Portfolio Selection
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A survey of mat-heuristics for combinatorial optimisation problems: Variants, trends and opportunities
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Fifty years of portfolio optimization
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Enhancing Knapsack-Based Financial Portfolio Optimization Using Quantum Approximate Optimization Algorithm
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