A Parametric Algorithm for Long-Short Portfolio Optimization.

Yanwu Liu Zhongzhen Zhang Feng Xiong Liu Fang

Published in: WKDD (2008)

Keyphrases

objective function
cost function
optimization algorithm
search space
k means
dynamic programming
data mining
np hard
simulated annealing
convergence rate
optimal solution
decision support system
particle swarm optimization
primal dual