Simulated annealing algorithm for optimal capital growth

DOI10.1016/J.PHYSA.2014.04.020zbMATH Open1402.91377OpenAlexW1969010349MaRDI QIDQ1782909FDOQ1782909

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

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zbMATH Keywords

asset allocationportfolio optimizationsimulate annealingcapital growth

Mathematics Subject Classification ID

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

Cites Work

• Optimization by simulated annealing
• Analysis of finite length annealing schedules
• Universal Portfolios
• Optimal Gambling Systems for Favorable Games
• Optimization by Simulated Annealing: An Experimental Evaluation; Part I, Graph Partitioning
• Simulated annealing for complex portfolio selection problems.
• Title not available (Why is that?)
• Kelly criterion revisited: Optimal bets
• Portfolio choice and the Bayesian Kelly criterion

Cited In (2)

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

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