Kernel Search: a new heuristic framework for portfolio selection
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References listed on IDEAS
- Guastaroba, Gianfranco & Mansini, Renata & Speranza, M. Grazia, 2009. "On the effectiveness of scenario generation techniques in single-period portfolio optimization," European Journal of Operational Research, Elsevier, vol. 192(2), pages 500-511, January.
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- repec:eee:ejores:v:263:y:2017:i:3:p:789-804 is not listed on IDEAS
- 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.
- Guastaroba, G. & Speranza, M.G., 2014. "A heuristic for BILP problems: The Single Source Capacitated Facility Location Problem," European Journal of Operational Research, Elsevier, vol. 238(2), pages 438-450.
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- H Mezali & J E Beasley, 2013. "Quantile regression for index tracking and enhanced indexation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(11), pages 1676-1692, November.
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- Filippi, C. & Guastaroba, G. & Speranza, M.G., 2016. "A heuristic framework for the bi-objective enhanced index tracking problem," Omega, Elsevier, vol. 65(C), pages 122-137.
More about this item
KeywordsKernel Search; Portfolio optimization with real features; Mixed Integer Linear Programming;
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