Solving cardinality constrained mean-variance portfolio problems via MILP.
Nasim Dehghan HardoroudiAbolfazl KeshvariMarkku KallioPekka KorhonenPublished in: Ann. Oper. Res. (2017)
Keyphrases
- constrained problems
- resource constrained project scheduling problem
- problems involving
- solving problems
- combinatorial optimization
- evolutionary algorithm
- np complete
- linear program
- quadratic programming
- lagrange multipliers
- portfolio selection
- optimization problems
- tabu search
- resource constraints
- search heuristics
- solving complex