A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
DOI10.1016/J.COR.2021.105631OpenAlexW3216033070WikidataQ116750090 ScholiaQ116750090MaRDI QIDQ2669799FDOQ2669799
Jana Doering, Onur Polat, Angel A. Juan, Laura Calvet, Renatas Kizys, Javier Panadero
Publication date: 9 March 2022
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2021.105631
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simulationmetaheuristicsvariable neighborhood searchfinancial assetsconstrained portfolio optimizationbiased randomization
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