Hybrid search for cardinality constrained portfolio optimization

GECCO 2006 - Genetic and Evolutionary Computation Conference

Volumn 2, Issue , 2006, Pages 1865-1866

  Gomez, Miguel A ^a   Flores, Carmen X ^a   Osorio, Maria A ^b  

^a UNIVERSIDAD DE LAS AMÉRICAS PUEBLA   (Mexico)

^b BENEMÉRITA UNIVERSIDAD AUTÓNOMA DE PUEBLA   (Mexico)

Author keywords

Markowitz model; Mixed integer programming; Portfolio selection

Indexed keywords

COMPUTATIONAL METHODS; GENETIC ALGORITHMS; INTEGER PROGRAMMING; PROBLEM SOLVING; QUADRATIC PROGRAMMING; SIMULATED ANNEALING;

MARKOWITZ MODEL; MIXED INTEGER PROGRAMMING; PORTFOLIO SELECTION;

OPTIMIZATION;

EID: 33750243669     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/1143997.1144302     Document Type: Conference Paper

References (7)

1. Chang T.J., Meade N., Beasley J.E. and Sharaiha Y.M., Heuristics for cardinality constrained portfolio optimisation, Computers & Operations Research, 27 (2000) pp. 1271-1302.
2. Crama, Y., & Schyns, M. Simulated annealing for complex portfolio selection problems. European Journal of Operational Research, 150(3), 2003, pp. 546-571.
3. Kellerer, Mansini, & Speranza. Selecting portfolios with fixed costs and minimum transaction lots. Annals of Operations Research 99, 2000, 287-304.
4. Loraschi A., Tettamanzi A., Tomassini M., Verda P., Distributed genetic algorithms with an application to portfolio selection problems, in: Proc. Int. Conf. on Artificial Neural Networks and Genetic Algorithms (ICANNGA95, D.W. Pearson, N.C. SteeleandR.F. Albrecht (eds.), Springer-Verlag), 1995, pp. 384-387.
5. Mansini, R., & Speranza, M. G. Heuristic algorithms for the portfolio selection problem with minimum transaction lots. European Journal of Operational Research(114), 1999, 219-233.
6. Maringer, D., & Kellerer, H. Optimization of cardinality constrained portfolios with a hybrid local search algorithm. Or Spectrum, 25(4), 2003, 481-495.
7. Markowitz, H. M. Portfolio selection. Cambridge, MA.: BlackWell. 1959.