Constrained portfolio selection using particle swarm optimization

Expert Systems with Applications

Volumn 38, Issue 7, 2011, Pages 8327-8335

  Golmakani, Hamid Reza ^a   Fazel, Mehrshad ^a  

^a TAFRESH UNIVERSITY   (Iran)

Author keywords

Cardinality constraints; Minimum transaction lots; Particle swarm optimization; Portfolio selection; Sector capitalization

Indexed keywords

CARDINALITIES; CARDINALITY CONSTRAINTS; COMPUTATIONAL RESULTS; CONSTRAINED PORTFOLIOS; EXTENDED MODEL; LARGE-SCALE PROBLEM; MARKET CAPITALIZATION; MARKOWITZ; MEAN VARIANCE; MINIMUM TRANSACTION LOTS; MIXED-INTEGER PROGRAMMING; PORTFOLIO SELECTION; PORTFOLIO SELECTION MODELS; SECTOR CAPITALIZATION; UPPER AND LOWER BOUNDS;

CONSTRAINED OPTIMIZATION; GENETIC ALGORITHMS; HEURISTIC METHODS; INTEGER PROGRAMMING; INVESTMENTS;

PARTICLE SWARM OPTIMIZATION (PSO);

EID: 79952442328     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2011.01.020     Document Type: Article

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