A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem.
Konstantinos LiagkourasKostas S. MetaxiotisPublished in: Ann. Oper. Res. (2018)
Keyphrases
- optimization algorithm
- multi objective
- optimal solution
- np hard
- optimization method
- learning algorithm
- objective function
- computational cost
- preprocessing
- computational complexity
- search space
- dynamic programming
- solution space
- linear programming
- detection algorithm
- matching algorithm
- computational efficiency
- convergence rate
- iterative algorithms
- expectation maximization
- worst case
- cost function