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Kernel Search: a new heuristic framework for portfolio selection

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  • Enrico Angelelli
  • Renata Mansini
  • M. Speranza

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  • Enrico Angelelli & Renata Mansini & M. Speranza, 2012. "Kernel Search: a new heuristic framework for portfolio selection," Computational Optimization and Applications, Springer, vol. 51(1), pages 345-361, January.
    • Handle: RePEc:spr:coopap:v:51:y:2012:i:1:p:345-361
    DOI: 10.1007/s10589-010-9326-6
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    References listed on IDEAS

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    1. 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.
    2. Egon Balas & Eitan Zemel, 1980. "An Algorithm for Large Zero-One Knapsack Problems," Operations Research, INFORMS, vol. 28(5), pages 1130-1154, October.
    3. 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.
    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. Luca Chiodi & Renata Mansini & Maria Speranza, 2003. "Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection," Annals of Operations Research, Springer, vol. 124(1), pages 245-265, November.
    6. 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.
    7. Angelelli, Enrico & Mansini, Renata & Speranza, M. Grazia, 2008. "A comparison of MAD and CVaR models with real features," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1188-1197, July.
    8. N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
    9. David Pisinger, 1999. "Core Problems in Knapsack Algorithms," Operations Research, INFORMS, vol. 47(4), pages 570-575, August.
    10. Hiroshi Konno & Rei Yamamoto, 2008. "Applications of Integer Programming to Financial Optimization," Springer Optimization and Its Applications, in: Constantin Zopounidis & Michael Doumpos & Panos M. Pardalos (ed.), Handbook of Financial Engineering, pages 25-48, Springer.
    11. Hiroshi Konno & Rei Yamamoto, 2005. "Integer programming approaches in mean-risk models," Computational Management Science, Springer, vol. 4(4), pages 339-351, November.
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