Heuristic algorithms for the cardinality constrained efficient frontier

European Journal of Operational Research

Volumn 213, Issue 3, 2011, Pages 538-550

  Woodside Oriakhi, M ^a   Lucas, C ^a   Beasley, J E ^a  

^a BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Efficient frontier; Genetic algorithm; Portfolio optimisation; Simulated annealing; Tabu search

Indexed keywords

CARDINALITIES; CARDINALITY CONSTRAINTS; COMPUTATION TIME; COMPUTATIONAL RESULTS; DATA SETS; EFFICIENT FRONTIER; FINANCIAL PORTFOLIO; MARKOWITZ; MEAN VARIANCE MODEL; META HEURISTICS; META-HEURISTIC APPROACH; PORTFOLIO OPTIMISATION; SOLUTION QUALITY;

GENETIC ALGORITHMS; HEURISTIC ALGORITHMS; TABU SEARCH;

SIMULATED ANNEALING;

EID: 79957703290     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2011.03.030     Document Type: Article

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