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Genetic algorithms for portfolio selection problems with minimum transaction lots

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  • Lin, Chang-Chun
  • Liu, Yi-Ting
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-4MSXT6K-4/2/72bdb8ec7e7f4823872dce51c7b46cf2
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 185 (2008)
    Issue (Month): 1 (February)
    Pages: 393-404

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    Handle: RePEc:eee:ejores:v:185:y:2008:i:1:p:393-404

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    Web page: http://www.elsevier.com/locate/eor

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    Cited by:
    1. J. Baixauli-Soler & Eva Alfaro-Cid & Matilde Fernandez-Blanco, 2011. "Mean-VaR Portfolio Selection Under Real Constraints," Computational Economics, Society for Computational Economics, vol. 37(2), pages 113-131, February.
    2. Nguyen, Tri-Dung & Lo, Andrew W., 2012. "Robust ranking and portfolio optimization," European Journal of Operational Research, Elsevier, vol. 221(2), pages 407-416.
    3. Konstantinos Anagnostopoulos & Georgios Mamanis, 2011. "Multiobjective evolutionary algorithms for complex portfolio optimization problems," Computational Management Science, Springer, vol. 8(3), pages 259-279, August.
    4. Rafael Rodríguez & Mariano Luque & Mercedes González, 2011. "Portfolio selection in the Spanish stock market by interactive multiobjective programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 19(1), pages 213-231, July.
    5. 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.
    6. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.

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