Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm.
Hamed SoleimaniHamid Reza GolmakaniMohammad Hossein SalimiPublished in: Expert Syst. Appl. (2009)
Keyphrases
- portfolio selection
- cardinality constraints
- genetic algorithm
- portfolio optimization
- functional dependencies
- entity relationship
- database schema
- robust optimization
- integrity constraints
- database
- multi objective
- deductive databases
- minimum cost
- fitness function
- simulated annealing
- inference rules
- multiple objectives
- financial markets
- linear programming
- optimal portfolio
- ant colony optimization
- object oriented
- closed sets
- data model
- information systems