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Computer science
Heuristic algorithm for the cardinality constrained portfolio optimization problem
A. A. Homchenkoa, C. Lucasb, S. V. Mironovc, S. P. Sidorova a Saratov State University, Russia, 410012, Saratov, Astrahanskaya st., 83
b Brunel University, Kingston Lane, Uxbridge, London, United Kingdom, UB8 3PH
c Saratov State University, Russia, 410012, Saratov, Astrahanskaya st., 83
Abstract:
In the paper we consider the cardinality constrained portfolio optimization problem. Constraint on the number of assets in portfolio leads to the mixed integer optimization problem. Effective frontier is constructed using the metaheuristic approach by genetic algorithm.
Key words:
mixed-integer optimization, genetic algorithms, portfolio optimization problem.
Citation:
A. A. Homchenko, C. Lucas, S. V. Mironov, S. P. Sidorov, “Heuristic algorithm for the cardinality constrained portfolio optimization problem”, Izv. Saratov Univ. Math. Mech. Inform., 13:2(2) (2013), 92–95
Linking options:
https://www.mathnet.ru/eng/isu420 https://www.mathnet.ru/eng/isu/v13/i4/p92
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Abstract page: | 350 | Full-text PDF : | 132 | References: | 45 |
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