Time-Varying Mean-Variance Portfolio Selection under Transaction Costs and Cardinality Constraint Problem via Beetle Antennae Search Algorithm (BAS).
Vasilios N. KatsikisSpyridon D. MourtasPredrag S. StanimirovicShuai LiXinwei CaoPublished in: Oper. Res. Forum (2021)
Keyphrases
- portfolio selection
- transaction costs
- cardinality constraints
- search algorithm
- portfolio optimization
- portfolio management
- branch and bound
- functional dependencies
- search space
- financial markets
- robust optimization
- optimal portfolio
- entity relationship
- databases
- multiple objectives
- database schema
- stock market
- tabu search
- multi objective
- long term
- genetic algorithm