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ArticleOptimization of cardinality constrained portfolios with a hybrid local search algorithm

Dietmar G. Maringer2003

Article2003

Optimization of cardinality constrained portfolios with a hybrid local search algorithm

Dietmar G. Maringer · Hans G. Kellerer

175 citations·0/0 files stored·OR Spectrum

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Risk and Portfolio Optimization Metaheuristic Optimization Algorithms Research Optimization and Packing Problems

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References

1999Coherent Measures of Risk 1982Modern Portfolio Theory and Investment Analysis.1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 2000Heuristics for cardinality constrained portfolio optimisation 2002Conditional value-at-risk: optimization algorithms and applications 1975THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS 2002Household Portfolios in Germany

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2011Constrained Portfolio Selection using Particle Swarm Optimization 2011Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization 2012A new method for mean-variance portfolio optimization with cardinality constraints 2005Portfolio management with heuristic optimization 2015Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection 2015An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem

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Year2003

Typearticle

Published2003-10-01

VenueOR Spectrum

ISSN-L0171-6468

Languageen

Citations175

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ShelfRisk and Portfolio Optimization

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doi10.1007/s00291-003-0139-1

openalex_workW1998777544

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2019

Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends

2017An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization