Heuristic algorithms for the portfolio selection problem with minimum transaction lots
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Cites work
- scientific article; zbMATH DE number 3639144 (Why is no real title available?)
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
- Computation of mean-semivariance efficient sets by the critical line algorithm
- Mean-absolute deviation portfolio optimization for mortgage-backed securities
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- Selecting portfolios with fixed costs and minimum transaction lots
Cited in
(48)- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Portfolio selection: a linear approach with dual expected utility
- Uncertain portfolio selection with mental accounts and realistic constraints
- Hybrid metaheuristics for constrained portfolio selection problems
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- A discontinuous mispricing model under asymmetric information
- Algorithm for cardinality-constrained quadratic optimization
- Kernel search: a new heuristic framework for portfolio selection
- A fuzzy interactive approach for optimal portfolio management
- Mean-VaR portfolio selection under real constraints
- Multiobjective efficient portfolio selection with bounded parameters
- Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the Frankfurt and Vienna stock exchanges
- Matheuristics: survey and synthesis
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A new algorithm for quadratic integer programming problems with cardinality constraint
- A mixed R{\&}D projects and securities portfolio selection model
- DC programming approaches for discrete portfolio optimization under concave transaction costs
- Portfolio-optimization models for small investors
- The fractional multidimensional knapsack problem: solution and uniqueness
- On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
- An MCDM approach to portfolio optimization.
- Selecting portfolios with fixed costs and minimum transaction lots
- A kernel search matheuristic to solve the discrete leader-follower location problem
- A robust mean absolute deviation model for portfolio optimization
- Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
- Fuzzy portfolio selection model with real features and different decision behaviors
- Heuristic algorithms for the cardinality constrained efficient frontier
- A mispricing model of stocks under asymmetric information
- Conditional value at risk and related linear programming models for portfolio optimization
- Iterated greedy local search methods for unrelated parallel machine scheduling
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Optimal portfolio selection for the small investor considering risk and transaction costs
- A genetic algorithm for portfolio selection problems.
- On cutting planes for cardinality-constrained linear programs
- Benchmarking the performance of portfolio optimization with QAOA
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- Asset portfolio optimization using fuzzy mathematical programming
- Fuzzy portfolio selection using genetic algorithm
- On extending the LP computable risk measures to account downside risk
- Particle swarm optimization approach to portfolio optimization
- Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
- Twenty years of linear programming based portfolio optimization
- Particle swarm optimization with dynamic random population topology strategies for a generalized portfolio selection problem
- Genetic algorithms for portfolio selection problems with minimum transaction lots
- Efficient portfolios and extreme risks: a Pareto-Dirichlet approach
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