Optimization of cardinality constrained portfolios with a hybrid local search algorithm.
Dietmar MaringerHans KellererPublished in: OR Spectr. (2003)
Keyphrases
- search algorithm
- concave convex procedure
- optimization algorithm
- global search
- portfolio optimization
- lagrange multipliers
- branch and bound
- optimization process
- discrete optimization
- optimization model
- constrained optimization
- global optimization
- optimization method
- optimization problems
- saddle point
- data sets
- combinatorial optimization
- robust optimization
- search space
- search engine