On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management.

Ulrich Derigs Nils-H. Nickel

Published in: Ann. Oper. Res. (2004)

Keyphrases

portfolio management
minimization problems
search algorithm
optimal solution
simulated annealing
tabu search
combinatorial optimization
total variation
search space
genetic algorithm
data analysis
convex optimization
control scheme
neural network
closed loop
nonlinear systems