Abstract
This paper presents an integrated approach for portfolio selection in a multicriteria decision making framework. Firstly, we use Support Vector Machines for classifying financial assets in three pre-defined classes, based on their performance on some key financial criteria. Next, we employ Real-Coded Genetic Algorithm to solve a mathematical model of the multicriteria portfolio selection problem in the respective classes incorporating investor-preferences.
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Gupta, P., Mehlawat, M.K. & Mittal, G. Asset portfolio optimization using support vector machines and real-coded genetic algorithm. J Glob Optim 53, 297–315 (2012). https://doi.org/10.1007/s10898-011-9692-3
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DOI: https://doi.org/10.1007/s10898-011-9692-3