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Optimization of cardinality constrained portfolios with a hybrid local search algorithm
7 references·16 citing·34 second hop
Optimization of cardinality constrained portfolios with a hybrid local search algorithm (2003)Optimization of cardinality constrained p…Household Portfolios in Germany (2002)Household Portfolios in Germa…Conditional value-at-risk: optimization algorithms and applications (2002)Conditional value-at-risk: op…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…Coherent Measures of Risk (1999)Coherent Measures of RiskMean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS (1975)THE ASSET STRUCTURE OF INDIVI…Enhancing portfolio management using artificial intelligence: literature review (2024)Enhancing portfolio managemen…A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)A parallel variable neighborh…Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends (2019)Metaheuristics for rich portf…An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization (2017)An artificial bee colony algo…Multi-objective portfolio optimization considering the dependence structure of asset returns (2015)Multi-objective portfolio opt…Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection (2015)Evolutionary multi-objective …An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem (2015)An integrated multi-objective…Exact and heuristic approaches for the index tracking problem with UCITS constraints (2012)Exact and heuristic approache…Cardinality versusq-norm constraints for index tracking (2012)Cardinality versusq-norm cons…A new method for mean-variance portfolio optimization with cardinality constraints (2012)A new method for mean-varianc…Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization (2011)Markowitz-based portfolio sel…Constrained Portfolio Selection using Particle Swarm Optimization (2011)Constrained Portfolio Selecti…Hybrid metaheuristics for constrained portfolio selection problems (2010)Hybrid metaheuristics for con…Evolutionary Optimization of Constrained $k$-Means Clustered Assets for Diversification in Small Portfolios (2009)Evolutionary Optimization of …Metaheuristics for the Portfolio Selection Problem (2008)Metaheuristics for the Portfo…Portfolio management with heuristic optimization (2005)Portfolio management with heu…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Generalized autoregressive conditional heteroskedasticity (1986)The Cross-Section of Expected Stock Returns (1992)A data-driven optimization heuristic for downside risk minimization (2006)Global optimization of higher order moments in portfolio selection (2007)Index tracking with constrained portfolios (2007)Portfolio Selection (1952)Optimization of conditional value-at-risk (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Selection of resilient supply portfolio under disruption risks (2012)Optimization under uncertainty in the era of big data and deep learning: When machine learning meets mathematical programming (2019)Simulated annealing for complex portfolio selection problems (2003)Solving multi-objective portfolio optimization problem using invasive weed optimization (2016)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)PORTFOLIO SELECTION* (1952)Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization (2021)THE DEMAND FOR RISKY ASSETS (1977)How Many Stocks Make a Diversified Portfolio? (1987)Economic foundations of cost-effectiveness analysis (1997)Do Dividend Clienteles Exist? Evidence on Dividend Preferences of Retail Investors (2006)Portfolio Selection: Efficient Diversification of Investments. (1962)An MCDM approach to portfolio optimization (2003)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem (2015)A Comprehensive Survey on Portfolio Optimization, Stock Price and Trend Prediction Using Particle Swarm Optimization (2020)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 2002Conditional value-at-risk: optimization algorithms and applications382 cited
  • 1975THE ASSET STRUCTURE OF INDIVIDUAL PORTFOLIOS AND SOME IMPLICATIONS FOR UTILITY FUNCTIONS378 cited
  • 2002Household Portfolios in Germany115 cited

Cited by

  • 2011Constrained Portfolio Selection using Particle Swarm Optimization142 cited
  • 2011Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization140 cited
  • 2012A new method for mean-variance portfolio optimization with cardinality constraints130 cited
  • 2005Portfolio management with heuristic optimization130 cited
  • 2015Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection129 cited
  • 2015An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem109 cited
  • 2019Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends86 cited

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  • 2017An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization81 cited
  • 2009Evolutionary Optimization of Constrained $k$-Means Clustered Assets for Diversification in Small Portfolios81 cited
  • 2020A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization75 cited
  • 2012Cardinality versusq-norm constraints for index tracking67 cited
  • 2010Hybrid metaheuristics for constrained portfolio selection problems66 cited
  • 2015Multi-objective portfolio optimization considering the dependence structure of asset returns65 cited
  • 2008Metaheuristics for the Portfolio Selection Problem64 cited
  • 2012Exact and heuristic approaches for the index tracking problem with UCITS constraints61 cited
  • 2024Enhancing portfolio management using artificial intelligence: literature review54 cited