A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs.

Wei Chen Yun Wang Mukesh Kumar Mehlawat

Published in: Ann. Oper. Res. (2018)

Keyphrases

portfolio selection
transaction costs
simulated annealing
linear programming
objective function
search space
dynamic programming
genetic algorithm
association rules
np hard
feature selection
optimal solution
knowledge discovery
particle swarm optimization