Simulated annealing algorithm for optimal capital growth

DOI10.1016/J.PHYSA.2014.04.020MaRDI QIDQ1782909zbMATH OpenOpenAlexFDO

Authors Yong Luo, Bo Zhu, Yong Tang

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL http://doc.rero.ch/record/231815/files/tan_saa.pdf

zbMATH Keywords

asset allocationportfolio optimizationsimulate annealingcapital growth

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 3179081 (Why is no real title available?)
• Analysis of finite length annealing schedules
• Kelly criterion revisited: Optimal bets
• Optimal Gambling Systems for Favorable Games
• Optimization by Simulated Annealing: An Experimental Evaluation; Part I, Graph Partitioning
• Optimization by simulated annealing
• Portfolio choice and the Bayesian Kelly criterion
• Simulated annealing for complex portfolio selection problems.
• Universal Portfolios

Cited in

(2)

• Simulated annealing for complex portfolio selection problems.
• Multiple-try simulated annealing algorithm for global optimization

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