A robust heuristic for the optimal selection of a portfolio of stocks

International Journal of Operational Research

Volumn 9, Issue 3, 2010, Pages 258-271

  Schyns, Michaël ^a  

^a UNIVERSITY OF LIÈGE   (Belgium)

Author keywords

Beta Computation; Combinatorial optimization; Heuristic; Markowitz' model; MCD estimator; Minimum covariance determinant estimator; Operational research; Portfolio of stocks; Robustness

Indexed keywords

EID: 79951925128     PISSN: 17457645     EISSN: 17457653     Source Type: Journal    
DOI: 10.1504/IJOR.2010.035520     Document Type: Article

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