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A memetic algorithm for cardinality-constrained portfolio optimization with transaction costs
16 references·5 citing·33 second hop
A memetic algorithm for cardinality-constrained portfolio optimization with transaction costs (2015)A memetic algorithm for cardinality-const…Sparse and stable Markowitz portfolios (2009)Sparse and stable Markowitz p…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Portfolio optimization with linear and fixed transaction costs (2006)Portfolio optimization with l…Simulated annealing for complex portfolio selection problems (2003)Simulated annealing for compl…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002)Risk Reduction in Large Portf…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…The Sharpe Ratio (1994)The Sharpe RatioMean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Large-Scale Portfolio Optimization (1984)Large-Scale Portfolio Optimiz…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study (2023)How important is green awaren…Construction of stock portfolios based on k-means clustering of continuous trend features (2022)Construction of stock portfol…A Generic Design of Driver Drowsiness and Stress Recognition Using MOGA Optimized Deep MKL-SVM (2020)A Generic Design of Driver Dr…A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems (2019)A multi-objective evolutionar…The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm (2017)The mean-variance cardinality…Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)The Cross-Section of Expected Stock Returns (1992)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)A Simplified Model for Portfolio Analysis (1963)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Deep learning-based feature engineering for stock price movement prediction (2018)Financial time series forecasting with multi-modality graph neural network (2021)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited
  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps535 cited
  • 2009Sparse and stable Markowitz portfolios485 cited
  • 1984Large-Scale Portfolio Optimization416 cited
  • 2003Simulated annealing for complex portfolio selection problems352 cited

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  • 2006Portfolio optimization with linear and fixed transaction costs350 cited
  • Cited by

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    • 2022Construction of stock portfolios based on k-means clustering of continuous trend features46 cited
    • 2020A Generic Design of Driver Drowsiness and Stress Recognition Using MOGA Optimized Deep MKL-SVM40 cited
    • 2017The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm31 cited
    • 2023How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study21 cited