A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization.
Mehmet Anil AkbayCan Berk KalayciOlcay PolatPublished in: Knowl. Based Syst. (2020)
Keyphrases
- quadratic programming
- portfolio optimization
- search algorithm
- linear programming
- portfolio selection
- problems involving
- optimization methods
- stock market
- bi objective
- factor analysis
- support vector machine
- risk management
- ls svm
- robust optimization
- stock exchange
- search space
- neural network
- feature selection
- simulated annealing
- optimization algorithm
- principal component analysis
- multi objective
- objective function
- feature extraction