A heuristic algorithm for a portfolio optimization model applied to the Milan stock market.

Maria Grazia Speranza

Published in: Comput. Oper. Res. (1996)

Keyphrases

stock market
optimization model
portfolio optimization
optimization process
stock price
financial time series
stock index futures
stock returns
financial data
financial markets
evolutionary algorithm
foreign exchange
garch model
stock data
trading rules
decision making
chinese stock market
genetic algorithm