Particle swarm optimization with non-smooth penalty reformulation, for a complex portfolio selection problem

DOI10.1016/j.amc.2013.07.091zbMath1335.91061OpenAlexW3125231897MaRDI QIDQ279051

Giovanni Fasano, Marco Corazza, Riccardo Gusso

Publication date: 27 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10278/38083

zbMATH Keywords

portfolio selectionparticle swarm optimizationcoherent risk measureexact penalty methodfund management constraintsNP-hard mathematical programming problemSP100 index's assets

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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