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Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm
9 references·16 citing·25 second hop
Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Markowitz-based portfolio selection with …Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Genetic algorithms for portfo…Portfolio selection using neural networks (2005)Portfolio selection using neu…Simulated annealing for complex portfolio selection problems (2003)Simulated annealing for compl…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 …Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionMulti-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…A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)A comprehensive review of det…Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization (2017)An artificial bee colony algo…Solving multi-objective portfolio optimization problem using invasive weed optimization (2016)Solving multi-objective portf…Fuzzy multi-period portfolio selection with different investment horizons (2016)Fuzzy multi-period portfolio …Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem (2015)Artificial bee colony algorit…An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem (2015)An integrated multi-objective…A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)A multi-period fuzzy portfoli…A risk index model for multi-period uncertain portfolio selection (2012)A risk index model for multi-…The large scale maximal covering location problem (2011)The large scale maximal cover…Mean–variance models for portfolio selection subject to experts’ estimations (2011)Mean–variance models for port…Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization (2011)Markowitz-based portfolio sel…Heuristic algorithms for the cardinality constrained efficient frontier (2011)Heuristic algorithms for the …Constrained Portfolio Selection using Particle Swarm Optimization (2011)Constrained Portfolio Selecti…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)Equilibrium Points of Bimatrix Games (1964)Introduction to Operations Research (1968)Kernel Search: An application to the index tracking problem (2011)Minimax and Biobjective Portfolio Selection Based on Collaborative Neurodynamic Optimization (2020)Fuzzy sets (1965)Fuzzy sets (1996)Decision Making in a Fuzzy Environment (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Particle swarm optimization approach to portfolio optimization (2008)Twenty years of linear programming based portfolio optimization (2013)Artificial Intelligence Applied to Stock Market Trading: A Review (2021)Portfolio optimization with an envelope-based multi-objective evolutionary algorithm (2008)Conditional value at risk and related linear programming models for portfolio optimization (2006)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)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Portfolio Selection4,609 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
  • 2003Simulated annealing for complex portfolio selection problems352 cited
  • 2005Portfolio selection using neural networks310 cited
  • 1999Heuristic algorithms for the portfolio selection problem with minimum transaction lots272 cited
  • 2007Genetic algorithms for portfolio selection problems with minimum transaction lots243 cited

Cited by

  • 2011Heuristic algorithms for the cardinality constrained efficient frontier195 cited
  • 2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization184 cited
  • 2011Constrained Portfolio Selection using Particle Swarm Optimization142 cited
  • 2011Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization140 cited
  • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited

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  • 2015An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem109 cited
  • 2014A multi-period fuzzy portfolio optimization model with minimum transaction lots106 cited
  • 2016Fuzzy multi-period portfolio selection with different investment horizons98 cited
  • 2015Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem94 cited
  • 2016Solving multi-objective portfolio optimization problem using invasive weed optimization87 cited
  • 2019Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends86 cited
  • 2011Mean–variance models for portfolio selection subject to experts’ estimations86 cited
  • 2017An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization81 cited
  • 2012A risk index model for multi-period uncertain portfolio selection80 cited
  • 2019Multi-objective imprecise programming for financial portfolio selection with fuzzy returns79 cited
  • 2011The large scale maximal covering location problem76 cited