Heuristics for cardinality constrained portfolio optimization
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DOI10.1016/S0305-0548(99)00074-XzbMATH Open1032.91074OpenAlexW2151237529MaRDI QIDQ1582684FDOQ1582684
Authors: 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
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- scientific article; zbMATH DE number 6001469
- Portfolio management with heuristic optimization.
simulated annealinggenetic algorithmstabu searchefficient frontierheuristic algorithmscomputational resultscardinality constraintstandard mean-variance portfollo optimisation model
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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