Simulated annealing for complex portfolio selection problems.
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Publication:1406489
DOI10.1016/S0377-2217(02)00784-1zbMATH Open1046.91057MaRDI QIDQ1406489FDOQ1406489
Authors: Yves Crama, Michaël Schyns 
Publication date: 4 September 2003
Published in: European Journal of Operational Research (Search for Journal in Brave)
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Quadratic programming (90C20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)
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Cited In (58)
- Risk-allocation-based index tracking
- Solving a pickup and delivery routing problem for fourth‐party logistics providers
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- Monte Carlo within simulated annealing for integral constrained optimizations
- A truck and drones model for last-mile delivery: a mathematical model and heuristic approach
- Adaptive evolutionary algorithms for portfolio selection problems
- 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization
- A portfolio optimization model with three objectives and discrete variables
- Diversified models for portfolio selection based on uncertain semivariance
- Portfolio selection based on fuzzy cross-entropy
- Uncertain programming models for portfolio selection with uncertain returns
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Simulated annealing algorithm for optimal capital growth
- Hybrid metaheuristics for constrained portfolio selection problems
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- A general deep reinforcement learning hyperheuristic framework for solving combinatorial optimization problems
- A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
- A class of possibilistic portfolio selection model with interval coefficients and its application
- A fuzzy interactive approach for optimal portfolio management
- Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
- An augmented Lagrangian proximal alternating method for sparse discrete optimization problems
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Multi-objective portfolio optimization considering the dependence structure of asset returns
- Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
- Vessel routing with pickups and deliveries: an application to the supply of offshore oil platforms
- A multiobjective metaheuristic for a mean-risk multistage capacity investment problem
- Optimization and analysis of the profitability of tariff structures with two-part tariffs
- An efficient solution method to design the cost-minimizing platform portfolio
- Network models to improve robot advisory portfolios
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Stock market prediction and portfolio selection models: a survey
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- Using simulated annealing to optimize the feature selection problem in marketing applications
- A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
- Portfolio selection based on distance between fuzzy variables
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
- Heuristic algorithms for the cardinality constrained efficient frontier
- Benchmark Suite for Industrial and Tramp Ship Routing and Scheduling Problems
- A mispricing model of stocks under asymmetric information
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- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- Particle swarm optimization approach to portfolio optimization
- Twenty years of linear programming based portfolio optimization
- Particle swarm optimization with dynamic random population topology strategies for a generalized portfolio selection problem
- Portfolio selection with a new definition of risk
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A dynamic programming approach to constrained portfolios
- HIERARCHICAL DECISION MAKING IN STRATEGIC INVESTMENT BY A BOLTZMANN MACHINE
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