Robust portfolio optimization with a hybrid heuristic algorithm
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Cites work
- Application of Threshold-Accepting to the Evaluation of the Discrepancy of a Set of Points
- Application of robust statistics to asset allocation models
- Heuristics for cardinality constrained portfolio optimization
- MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
- Models and simulations for portfolio rebalancing
- Optimization by simulated annealing
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Portfolio management with heuristic optimization.
- Portfolio selection with robust estimation
- Robust Portfolio Selection Problems
- Robust Statistics
- Robust asset allocation
- Robust multiperiod portfolio management in the presence of transaction costs
- Robust portfolio optimization
- Robust prediction of beta
- Robust regression with optimisation heuristics
- The threshold accepting optimisation algorithm in economics and statistics
- Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
- Using economic and financial information for stock selection
Cited in
(9)- A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
- Portfolio optimization model with and without options under additional constraints
- Recent advancements in robust optimization for investment management
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- Robust CCMV model with short selling and risk-neutral interest rate
- A robust heuristic for the optimal selection of a portfolio of stocks
- Cardinality versus \(q\)-norm constraints for index tracking
- scientific article; zbMATH DE number 7174162 (Why is no real title available?)
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