Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm

Expert Systems with Applications

Volumn 36, Issue 3 PART 1, 2009, Pages 5058-5063

  Soleimani, Hamed ^a   Golmakani, Hamid Reza ^b   Salimi, Mohammad Hossein ^a  

^a AMIRKABIR UNIVERSITY OF TECHNOLOGY   (Iran)

^b TAFRESH UNIVERSITY   (Iran)

Author keywords

Cardinality constraints; Genetic algorithm; Market capitalization; Minimum transaction lots; Portfolio selection; Sector capitalization

Indexed keywords

COMMERCE; HEURISTIC ALGORITHMS; HEURISTIC METHODS; INTEGER PROGRAMMING; NONLINEAR PROGRAMMING;

CARDINALITY CONSTRAINTS; MARKET CAPITALIZATION; MINIMUM TRANSACTION LOTS; PORTFOLIO SELECTION; SECTOR CAPITALIZATION;

GENETIC ALGORITHMS;

EID: 58749084527     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2008.06.007     Document Type: Article

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