Simulated annealing for complex portfolio selection problems

European Journal of Operational Research

Volumn 150, Issue 3, 2003, Pages 546-571

  Crama, Y ^a   Schyns, M ^a,b  

^a UNIVERSITY OF LIÈGE   (Belgium)

^b UNIVERSITY OF NAMUR   (Belgium)

Author keywords

Finance; Metaheuristics; Portfolio selection; Quadratic programming; Simulated annealing

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; FINANCE; HEURISTIC METHODS; INTEGER PROGRAMMING; OPTIMIZATION; QUADRATIC PROGRAMMING; SIMULATED ANNEALING;

METAHEURISTICS; PORTFOLIO SELECTION;

OPERATIONS RESEARCH;

EID: 1642358232     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(02)00784-1     Document Type: Article

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