A GRASP based solution approach to solve cardinality constrained portfolio optimization problems.
Adil BaykasogluMualla Gonca YunusogluFehmi Burcin ÖzsoydanPublished in: Comput. Ind. Eng. (2015)
Keyphrases
- optimization problems
- discrete optimization problems
- evolutionary algorithm
- exact solution
- nonlinear programming
- integer program
- cost function
- optimization method
- traveling salesman problem
- database
- lagrange multipliers
- linear equations
- optimization methods
- solution quality
- mixed integer program
- objective function
- search procedure
- optimization criteria
- previously solved
- complex optimization problems
- nonlinear optimization problems
- portfolio management
- integer programming
- closed form
- metaheuristic
- neural network