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Simulated annealing for complex portfolio selection problems

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  • Crama, Y.
  • Schyns, M.

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  • Crama, Y. & Schyns, M., 2003. "Simulated annealing for complex portfolio selection problems," European Journal of Operational Research, Elsevier, vol. 150(3), pages 546-571, November.
    • Handle: RePEc:eee:ejores:v:150:y:2003:i:3:p:546-571
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    References listed on IDEAS

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    1. David S. Johnson & Cecilia R. Aragon & Lyle A. McGeoch & Catherine Schevon, 1989. "Optimization by Simulated Annealing: An Experimental Evaluation; Part I, Graph Partitioning," Operations Research, INFORMS, vol. 37(6), pages 865-892, December.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
    4. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
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