Heuristics for cardinality constrained portfolio optimization

DOI10.1016/S0305-0548(99)00074-XzbMath1032.91074OpenAlexW2151237529MaRDI QIDQ1582684

R. Smith

Publication date: 11 March 2004

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0305-0548(99)00074-x

zbMATH Keywords

simulated annealingtabu searchgenetic algorithmsheuristic algorithmscomputational resultsefficient frontiercardinality constraintstandard mean-variance portfollo optimisation model

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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Uses Software

• Tabu search

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