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Local Search Techniques for Constrained Portfolio Selection Problems
12 references·16 citing·32 second hop
Local Search Techniques for Constrained Portfolio Selection Problems (2002)Local Search Techniques for Constrained P…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…Heuristic algorithms for the portfolio selection problem with minimum transaction lots (1999)Heuristic algorithms for the …Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model (1997)Estimation Risk in Portfolio …THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)THE MEAN-VARIANCE APPROACH TO…A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL (1995)A MEAN-VARIANCE-SKEWNESS PORT…Computation of mean-semivariance efficient sets by the Critical Line Algorithm (1993)Computation of mean-semivaria…A mean-absolute deviation-skewness portfolio optimization model (1993)A mean-absolute deviation-ske…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach (2023)Multi-period portfolio optimi…A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem (2022)A multi-objective approach ba…A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)A parallel variable neighborh…Multi-objective imprecise programming for financial portfolio selection with fuzzy returns (2019)Multi-objective imprecise pro…Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends (2019)Metaheuristics for rich portf…An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem (2015)An integrated multi-objective…A hybrid approach to portfolio composition based on fundamental and technical indicators (2014)A hybrid approach to portfoli…A hybrid algorithm for constrained portfolio selection problems (2013)A hybrid algorithm for constr…A new method for mean-variance portfolio optimization with cardinality constraints (2012)A new method for mean-varianc…Constrained Portfolio Selection using Particle Swarm Optimization (2011)Constrained Portfolio Selecti…Applying a GA kernel on optimizing technical analysis rules for stock picking and portfolio composition (2011)Applying a GA kernel on optim…Hybrid metaheuristics for constrained portfolio selection problems (2010)Hybrid metaheuristics for con…Hybrid Approaches and Dimensionality Reduction for Portfolio Selection with Cardinality Constraints (2010)Hybrid Approaches and Dimensi…Metaheuristics for the Portfolio Selection Problem (2008)Metaheuristics for the Portfo…Selection of Optimal Investment Portfolios with Cardinality Constraints (2006)Selection of Optimal Investme…Improving Portfolio Efficiency: A Genetic Algorithm Approach (2006)Improving Portfolio Efficienc…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Semivariance Optimization: A Heuristic Approach (2007)Portfolio selection based on fuzzy cross-entropy (2008)Mean-semivariance portfolio optimization with multiobjective evolutionary algorithms and technical analysis rules (2017)Liquidity Preference as Behavior Towards Risk (1958)Optimum consumption and portfolio rules in a continuous-time model (1971)Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection (2006)Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio Theory and Capital Markets. (1972)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Simulated annealing for complex portfolio selection problems (2003)Portfolio optimization with linear and fixed transaction costs (2006)The Efficiency Analysis of Choices Involving Risk (1969)Portfolio rebalancing model with transaction costs based on fuzzy decision theory (2005)Two new models for portfolio selection with stochastic returns taking fuzzy information (2006)ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY (2009)Portfolio Selection (1952)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Particle swarm optimization approach to portfolio optimization (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)An MCDM approach to portfolio optimization (2003)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 1984Large-Scale Portfolio Optimization416 cited
  • 1999Heuristic algorithms for the portfolio selection problem with minimum transaction lots272 cited
  • 1993A mean-absolute deviation-skewness portfolio optimization model252 cited
  • 1997Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model205 cited
  • 1993Computation of mean-semivariance efficient sets by the Critical Line Algorithm201 cited
  • 1995A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL193 cited
  • 1996THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS192 cited

Cited by

  • 2011Constrained Portfolio Selection using Particle Swarm Optimization142 cited
  • 2012A new method for mean-variance portfolio optimization with cardinality constraints130 cited

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2006
Selection of Optimal Investment Portfolios with Cardinality Constraints
118 cited
  • 2015An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem109 cited
  • 2011Applying a GA kernel on optimizing technical analysis rules for stock picking and portfolio composition95 cited
  • 2010Hybrid Approaches and Dimensionality Reduction for Portfolio Selection with Cardinality Constraints90 cited
  • 2019Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends86 cited
  • 2019Multi-objective imprecise programming for financial portfolio selection with fuzzy returns79 cited
  • 2023Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach77 cited
  • 2020A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization75 cited
  • 2010Hybrid metaheuristics for constrained portfolio selection problems66 cited
  • 2013A hybrid algorithm for constrained portfolio selection problems66 cited
  • 2008Metaheuristics for the Portfolio Selection Problem64 cited
  • 2006Improving Portfolio Efficiency: A Genetic Algorithm Approach62 cited
  • 2022A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem61 cited
  • 2014A hybrid approach to portfolio composition based on fundamental and technical indicators60 cited