Heuristic Algorithm for the Cardinality Constrained Portfolio Optimization Problem

被引：0

作者：

Homchenko, A. A. ^{[1
]}

Lucas, C. ^{[2
]}

Mironov, S. V. ^{[1
]}

Sidorov, S. P. ^{[1
]}

机构：

[1] Saratov NG Chernyshevskii State Univ, Astrahanskaya St 83, Saratov 410012, Russia

[2] Brunel Univ, London UB8 3PH, England

来源：

IZVESTIYA SARATOVSKOGO UNIVERSITETA NOVAYA SERIYA-MATEMATIKA MEKHANIKA INFORMATIKA | 2013年 / 13卷 / 02期

关键词：

mixed-integer optimization; genetic algorithms; portfolio optimization problem;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In the paper we consider the cardinality constrained portfolio optimization problem. Constraint on the number of assets in portfolio leads to the mixed integer optimization problem. Effective frontier is constructed using the metaheuristic approach by genetic algorithm.

引用

页码：17 / 17

页数：1

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