Robust Portfolio Optimization with a Hybrid Heuristic Algorithm
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- Björn Fastrich & Peter Winker, 2012. "Robust portfolio optimization with a hybrid heuristic algorithm," Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Winker, Peter & Fang, Kai-Tai, 1995. "Application of threshold accepting to the evaluation of the discrepancy of a set of points," Discussion Papers, Series II 248, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
- R.H. Tütüncü & M. Koenig, 2004. "Robust Asset Allocation," Annals of Operations Research, Springer, vol. 132(1), pages 157-187, November.
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"Using economic and financial information for stock selection,"
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- Ilir Roko & Manfred Gilli, "undated". "Using Economic and Financial Information for Stock Selection," Swiss Finance Institute Research Paper Series 06-21, Swiss Finance Institute.
- Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
- Gianfranco Guastaroba & Renata Mansini & M. Speranza, 2009. "Models and Simulations for Portfolio Rebalancing," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 237-262, April.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Akiko Takeda & Mahesan Niranjan & Jun-ya Gotoh & Yoshinobu Kawahara, 2013. "Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios," Computational Management Science, Springer, vol. 10(1), pages 21-49, February.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Björn Fastrich & Sandra Paterlini & Peter Winker, 2014.
"Cardinality versus q -norm constraints for index tracking,"
Taylor & Francis Journals, vol. 14(11), pages 2019-2032, November.
- Bjoern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Center for Economic Research (RECent) 056, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Bjöern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Department of Economics 0642, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
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KeywordsHybrid heuristic algorithm; Markowitz; Robust optimization; Uncertainty sets.;
NEP fieldsThis paper has been announced in the following NEP Reports:
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