Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs

R. R. A. Mendes, Anderson Paulo de Paiva, Rogério Santana Peruchi, Pedro Paulo Balestrassi, Rafael Coradi Leme, M. B. Silva. Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs. Computers & OR, 66:434-444, 2016. [doi]

Abstract

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