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Multi-objective heuristic algorithms for practical portfolio optimization and rebalancing with transaction cost
16 references·5 citing·35 second hop
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 2009Sparse and stable Markowitz portfolios485 cited
  • 2007Robust Portfolio Optimization and Management402 cited
  • 2008Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization389 cited
  • 1981Multiple Criteria Decision Making: Theory and Application369 cited
  • 2009The level and quality of Value-at-Risk disclosure by commercial banks363 cited
  • 2006Portfolio optimization with linear and fixed transaction costs350 cited
  • 2005Value-at-risk in portfolio optimization: properties and computational approach325 cited
  • 1999Variance vs downside risk: Is there really that much difference?281 cited
  • 2008Particle swarm optimization approach to portfolio optimization260 cited
  • 2008Portfolio optimization with an envelope-based multi-objective evolutionary algorithm199 cited
  • 2011

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Heuristic algorithms for the cardinality constrained efficient frontier
195 cited

Cited by

  • 2023Meta-heuristics for portfolio optimization55 cited
  • 2019A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost49 cited
  • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited
  • 2020Analysis of new approaches used in portfolio optimization: a systematic literature review36 cited
  • 2020Opportunism and conflict as precursors of non-economic and economic satisfaction outcomes in seller–customer business relationships20 cited