Robust portfolio optimization with a hybrid heuristic algorithm
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- Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Akiko Takeda & Mahesan Niranjan & Jun-ya Gotoh & Yoshinobu Kawahara, 2013. "Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios," Computational Management Science, Springer, pages 21-49.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Bjoern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Center for Economic Research (RECent) 056, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Björn Fastrich & Sandra Paterlini & Peter Winker, 2014. "Cardinality versus q -norm constraints for index tracking," Quantitative Finance, Taylor & Francis Journals, pages 2019-2032.
- Bjöern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Department of Economics 0642, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
More about this item
KeywordsHybrid heuristic; Algorithm; Markowitz; Robust optimization; Uncertainty sets;
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