This paper describes the application of a simulated annealing approach to the solution of a complex portfolio selection model. The model is a mixed integer quadratic programming problem which arises when Markowitz' classical mean-variance model is enriched with additional realistic constraints. Exact optimization algorithms run into difficulties in this framework and this motivates the investigation of heuristic techniques. Computational experiments indicate that the approach is promising for this class of problems.
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Length: 33 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:gemame:9911
Contact details of provider: Postal: UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie. 4000 Liege, BELGIQUE Web page: http://www.sig.egss.ulg.ac.be/gemme/ More information through EDIRC
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