Simulated annealing for complex portfolio selection problems.

DOI10.1016/S0377-2217(02)00784-1zbMath1046.91057MaRDI QIDQ1406489

Michaël Schyns, Yves Cramer

Publication date: 4 September 2003

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

Simulated annealingFinanceQuadratic programmingMetaheuristicsPortfolio selection

Mathematics Subject Classification ID

Quadratic programming (90C20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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