Heuristics for cardinality constrained portfolio optimization

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Publication:1582684

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DOI10.1016/S0305-0548(99)00074-XzbMath1032.91074OpenAlexW2151237529MaRDI QIDQ1582684

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

zbMATH Keywords

simulated annealing tabu search genetic algorithms heuristic algorithms computational results efficient frontier cardinality constraint standard mean-variance portfollo optimisation model

Mathematics Subject Classification ID

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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