Mean-VaR portfolio selection based on a particle swarm optimization algorithm

MaRDI QIDQ2858906zbMATH OpenFDO

Authors Yanshan Zeng, Zhongfei Li

Publication date 19 November 2013

Published in Acta Scientiarum Naturalium Universitatis Sunyatseni (Search for Journal in Brave)

zbMATH Keywords

limited short sellingparticle swarm optimizationportfoliotransaction cost

Mathematics Subject Classification ID

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

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