A note on evolutionary stochastic portfolio optimization and probabilistic constraints
Portfolio Management
2014-01-21 v1 Computational Engineering, Finance, and Science
Neural and Evolutionary Computing
Abstract
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evolutionary optimization environment are ideally suited for an integration of various types of probabilistic constraints. We show an approach on how to integrate these constraints. Numerical results using recent financial data substantiate the applicability of the presented approach.
Keywords
Cite
@article{arxiv.1001.5421,
title = {A note on evolutionary stochastic portfolio optimization and probabilistic constraints},
author = {Ronald Hochreiter},
journal= {arXiv preprint arXiv:1001.5421},
year = {2014}
}