Time-varying minimum-cost portfolio insurance under transaction costs problem via Beetle Antennae Search Algorithm (BAS).
Vasilios N. KatsikisSpyridon D. MourtasPredrag S. StanimirovicShuai LiXinwei CaoPublished in: Appl. Math. Comput. (2020)
Keyphrases
- decision support system
- transaction costs
- minimum cost
- search algorithm
- risk management
- approximation algorithms
- network design problem
- network flow problem
- branch and bound
- np hard
- portfolio management
- network flow
- search costs
- search space
- portfolio selection
- spanning tree
- capacity constraints
- stock exchange
- network simplex algorithm
- minimum cost flow
- stock market
- special case
- edit operations
- fraud detection
- tabu search
- dynamic programming
- evolutionary algorithm