Heuristic algorithms for the portfolio selection problem with minimum transaction lots
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Publication:1296348
DOI10.1016/S0377-2217(98)00252-5zbMath0935.91022OpenAlexW2144015438WikidataQ114830401 ScholiaQ114830401MaRDI QIDQ1296348
Maria Grazia Speranza, Renata Mansini
Publication date: 14 May 2000
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0377-2217(98)00252-5
Integer programming (90C10) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)
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Cites Work
- Computation of mean-semivariance efficient sets by the critical line algorithm
- Mean-absolute deviation portfolio optimization for mortgage-backed securities
- A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
- A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
- Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
- Selecting portfolios with fixed costs and minimum transaction lots
- Unnamed Item
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