Genetic algorithm designed for solving portfolio optimization problems subjected to cardinality constraint
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References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Barak, Sasan & Abessi, Masoud & Modarres, Mohammad, 2013. "Fuzzy turnover rate chance constraints portfolio model," European Journal of Operational Research, Elsevier, vol. 228(1), pages 141-147.
- Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
- Leon, T. & Liern, V. & Vercher, E., 2002. "Viability of infeasible portfolio selection problems: A fuzzy approach," European Journal of Operational Research, Elsevier, vol. 139(1), pages 178-189, May.
- 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.
More about this item
KeywordsReal-coded genetic algorithms; Bounded exponential crossover; Swap mutation; Budget; Cardinality and lower/upper bound constraints;
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