Simulated annealing for complex portfolio selection problems
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 150 (2003)
Issue (Month): 3 (November)
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Web page: http://www.elsevier.com/locate/eor
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- 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.
- Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
- Kraft, Holger & Steffensen, Mogens, 2013. "A dynamic programming approach to constrained portfolios," European Journal of Operational Research, Elsevier, vol. 229(2), pages 453-461.
- João Claro & Jorge Sousa, 2010. "A multiobjective metaheuristic for a mean-risk static stochastic knapsack problem," Computational Optimization and Applications, Springer, vol. 46(3), pages 427-450, July.
- Konstantinos Anagnostopoulos & Georgios Mamanis, 2011. "Multiobjective evolutionary algorithms for complex portfolio optimization problems," Computational Management Science, Springer, vol. 8(3), pages 259-279, August.
- Chen, Wei & Zhang, Wei-Guo, 2010. "The admissible portfolio selection problem with transaction costs and an improved PSO algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(10), pages 2070-2076.
- Kraft, Holger & Steffensen, Mogens, 2012. "A dynamic programming approach to constrained portfolios," CFS Working Paper Series 2012/07, Center for Financial Studies (CFS).
- Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2011. "Heuristic algorithms for the cardinality constrained efficient frontier," European Journal of Operational Research, Elsevier, vol. 213(3), pages 538-550, September.
- Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
- Zhang, Wei-Guo & Liu, Yong-Jun & Xu, Wei-Jun, 2012. "A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 222(2), pages 341-349.
- K.P. Anagnostopoulos & P.D. Chatzoglou & S. Katsavounis, 2010. "A reactive greedy randomized adaptive search procedure for a mixed integer portfolio optimization problem," Managerial Finance, Emerald Group Publishing, vol. 36(12), pages 1057-1065, December.
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