Market Volatility-Robust Financial Instruments’s Portfolio Allocation with Sampling Methods and Genetic Algorithms
Journal of Financial Studies and Research
Nowadays it is increasingly important to enhance the efficiency and robustness of the allocation in a financial instruments’ portfolio, especially, in the occurrence of an increased market volatility. In this paper, a market volatility-robust (i.e. counter cyclical) investment portfolio formulation procedure under the modified Markowitz’s…