Kernel search: a new heuristic framework for portfolio selection
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Publication:434181
DOI10.1007/S10589-010-9326-6zbMATH Open1246.91119OpenAlexW2092997351MaRDI QIDQ434181FDOQ434181
Authors: Enrico Angelelli, Renata Mansini, Maria Grazia Speranza 
Publication date: 10 July 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-010-9326-6
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Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Mixed integer programming (90C11)
Cites Work
- A new ILP-based refinement heuristic for vehicle routing problems
- An Algorithm for Large Zero-One Knapsack Problems
- LP solvable models for portfolio optimization: a classification and computational comparison
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Heuristics for cardinality constrained portfolio optimization
- Selecting portfolios with fixed costs and minimum transaction lots
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Core problems in knapsack algorithms
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- Semi-absolute deviation rule for mutual funds portfolio selection
- Integer programming approaches in mean-risk models
Cited In (28)
- Dealing with complex transaction costs in portfolio management
- Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
- Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming
- An efficient heuristic algorithm for the alternative-fuel station location problem
- Mixed integer linear programming for feature selection in support vector machine
- A heuristic for BILP problems: the single source capacitated facility location problem
- Kernel search: an application to the index tracking problem
- Optimal selection of touristic packages based on user preferences during sports mega-events
- Hybridizing adaptive large neighborhood search with kernel search: a new solution approach for the nurse routing problem with incompatible services and minimum demand
- Matheuristics: survey and synthesis
- On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
- An effective matheuristic for the capacitated total quantity discount problem
- Clustered maximum weight clique problem: algorithms and empirical analysis
- MIP neighborhood synthesis through semantic feature extraction and automatic algorithm configuration
- The multi-visit team orienteering problem with precedence constraints
- A two-phase kernel search variant for the multidimensional multiple-choice knapsack problem
- Kernel search: a general heuristic for the multi-dimensional knapsack problem
- A mathematical programming approach to overlapping community detection
- Index tracking with fixed and variable transaction costs
- \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
- A kernel search heuristic for a fair facility location problem
- The heterogeneous flexible periodic vehicle routing problem: mathematical formulations and solution algorithms
- Adaptive kernel search: a heuristic for solving mixed integer linear programs
- Kernel technology to solve discrete optimization problems
- A multi-period multi-commodity lot-sizing problem with supplier selection, storage selection and discounts for the process industry
- Twenty years of linear programming based portfolio optimization
- BOOSTING-BASED FRAMEWORK FOR PORTFOLIO STRATEGY DISCOVERY AND OPTIMIZATION
- Water distribution networks design under uncertainty
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