Heuristics for cardinality constrained portfolio optimisation.
T.-J. ChangNigel MeadeJohn E. BeasleyYazid M. SharaihaPublished in: Comput. Oper. Res. (2000)
Keyphrases
- genetic algorithm
- decision making
- real world
- search algorithm
- heuristic search
- search methods
- constrained problems
- portfolio optimization
- genetic programming
- metaheuristic
- decision makers
- state space
- greedy algorithm
- search strategies
- cardinality constraints
- transaction costs
- special case
- portfolio management
- relational databases
- market data
- multi objective optimisation
- concave convex procedure