Algorithm for cardinality-constrained quadratic optimization
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Volume (Year): 43 (2009)
Issue (Month): 1 (May)
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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.
- Jacob, Nancy L, 1974. "A Limited-Diversification Portfolio Selection Model for the Small Investor," Journal of Finance, American Finance Association, vol. 29(3), pages 847-56, June.
- C. E. Lemke, 1965. "Bimatrix Equilibrium Points and Mathematical Programming," Management Science, INFORMS, vol. 11(7), pages 681-689, May.
- Nitin R. Patel & Marti G. Subrahmanyam, 1982. "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," Management Science, INFORMS, vol. 28(3), pages 303-314, March.
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