A genetic algorithm for solving portfolio optimization problems with transaction costs and minimum transaction lots

Lecture Notes in Computer Science

Volumn 3612, Issue PART III, 2005, Pages 808-811

  Lin, Dan ^a   Li, Xiaoming ^a   Li, Minqiang ^a  

^a TIANJIN UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; INTEGER PROGRAMMING; MATHEMATICAL MODELS; MATHEMATICAL OPERATORS; OPTIMIZATION; PROBLEM SOLVING;

PORTFOLIO OPTIMIZATION; TRANSACTION COSTS;

GENETIC ALGORITHMS;

EID: 26844542019     PISSN: 03029743     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/11539902_99     Document Type: Conference Paper

References (5)

1. Masini, R., Speranza, M.G.: Heuristic Algorithms for a Portfolio Selection Problem with Minimum Transaction Lots. European Journal of Operational Research. 114(1999) 219-233
2. Kellerer, H., Mansini, R., Speranza, M.G.: On Selecting a Portfolio with Fixed Costs and Minimum Lots. Annals of Operations Research. 99(2000) 287-304
3. Konno, H., Wijayanayake, A.: Portfolio Optimization Problems under Concave Transaction Costs and Minimal Transaction Unit Constraints. Mathematical Programming. 89(2001) 233-250
4. Bäck, T., Fogel, D.B., Michalewicz, Z.: Handbook of Evolutionary Computation. Oxford University Press, Oxford (1997)
5. Deb, K., Agrawal, R.B.: Simulated Binary Crossover for Continuous Search Space. Complex Systems. 9(1995) 115-148