Robust optimization framework for cardinality constrained portfolio problem

Applied Soft Computing Journal

Volumn 12, Issue 1, 2012, Pages 91-99

  Sadjadi, Seyed Jafar ^a   Gharakhani, Mohsen ^a   Safari, Ehram ^a  

^a IRAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Iran)

Author keywords

Cardinality constraint; Meta heuristic approach; Portfolio selection; Robust optimization

Indexed keywords

ASSET ALLOCATION; BENCHMARK DATA; CARDINALITIES; CARDINALITY CONSTRAINTS; CONSTRAINED PORTFOLIOS; META-HEURISTIC APPROACH; MODELING APPROACH; PORTFOLIO SELECTION; RISKY ASSETS; ROBUST OPTIMIZATION; UNCERTAIN DATAS;

HEURISTIC METHODS; INVESTMENTS;

CONSTRAINED OPTIMIZATION;

EID: 81155139541     PISSN: 15684946     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.asoc.2011.09.006     Document Type: Article

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