A Genetic Algorithm for Solving Portfolio Optimization Problems with Transaction Costs and Minimum Transaction Lots.
Dan LinXiaoming LiMinqiang LiPublished in: ICNC (3) (2005)
Keyphrases
- transaction costs
- optimization problems
- portfolio management
- evolutionary algorithm
- portfolio selection
- search costs
- metaheuristic
- database
- objective function
- transaction cost economics
- combinatorial optimization
- concurrency control
- cost function
- optimization methods
- stock exchange
- problems involving
- timetabling problem
- traveling salesman problem
- multi objective
- long term