Heuristic algorithms for the portfolio selection problem with minimum transaction lots

European Journal of Operational Research

Volumn 114, Issue 2, 1999, Pages 219-233

  Mansini, Renata ^a   Speranza, Maria Grazia ^a  

^a UNIVERSITY OF BRESCIA   (Italy)

Author keywords

Heuristics; Integer programming; Minimum transaction lots; Portfolio optimization

Indexed keywords

ALGORITHMS; COMPUTATIONAL COMPLEXITY; DATA REDUCTION; HEURISTIC METHODS; INTEGER PROGRAMMING; LINEAR PROGRAMMING; MATHEMATICAL MODELS; PROBLEM SOLVING; RELAXATION PROCESSES;

MINIMUM TRANSACTION LOTS; PORTFOLIO OPTIMIZATION;

RISK MANAGEMENT;

EID: 0033115630     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(98)00252-5     Document Type: Article

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