Genetic algorithms for portfolio selection problems with minimum transaction lots
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- Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
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- Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
- Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages B645-B653, August.
- 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.
- Son-Nan Chen & Cheng F. Lee, 1981. "The Sampling Relationship Between Sharpe's Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions," Management Science, INFORMS, vol. 27(6), pages 607-618, June.
- Lee, Sang M & Lerro, A J, 1973. "Optimizing the Portfolio Selection for Mutual Funds," Journal of Finance, American Finance Association, vol. 28(5), pages 1087-1102, December.
- Hans Kellerer & Renata Mansini & M. Speranza, 2000. "Selecting Portfolios with Fixed Costs and Minimum Transaction Lots," Annals of Operations Research, Springer, vol. 99(1), pages 287-304, December.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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