Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem
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References listed on IDEAS
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- Marco Corazza & Giacomo Di Tollo & Giovanni Fasano & Raffaele Pesenti, 2015. "A novel initialization of PSO for costly portfolio selection problems," Working Papers 4, Department of Management, Università Ca' Foscari Venezia.
- Marco Corazza & Giovanni Fasano & Stefania Funari & Riccardo Gusso, 2017. "PSO-based tuning of MURAME parameters for creditworthiness evaluation of Italian SMEs," Working Papers 04, Department of Management, Università Ca' Foscari Venezia.
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KeywordsPortfolio selection; coherent risk measure; fund management constraints; NP-hard mathematical programming problem; PSO; exact penalty method; SP100 index's assets.;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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