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Kernel Search: a new heuristic framework for portfolio selection


  • Enrico Angelelli
  • Renata Mansini
  • M. Speranza



No abstract is available for this item.

Suggested Citation

  • 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

    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. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. 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.
    4. 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.
    5. Hiroshi Konno & Rei Yamamoto, 2005. "Integer programming approaches in mean-risk models," Computational Management Science, Springer, vol. 4(4), pages 339-351, November.
    Full references (including those not matched with items on IDEAS)


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    Cited by:

    1. repec:eee:ejores:v:263:y:2017:i:3:p:789-804 is not listed on IDEAS
    2. 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.
    3. 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.
    4. repec:spr:topjnl:v:25:y:2017:i:1:d:10.1007_s11750-016-0425-0 is not listed on IDEAS
    5. 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.
    6. repec:eee:quaeco:v:65:y:2017:i:c:p:146-157 is not listed on IDEAS
    7. repec:spr:annopr:v:258:y:2017:i:2:d:10.1007_s10479-016-2111-x is not listed on IDEAS
    8. 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.


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