A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints

A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints

The focus of this paper is on standard Markowitz mean–variance model and its traditional approach to solve portfolio selection problem (Quadratic Planning). For this goal we have applied a meta-heuristic method based on genetic algorithms (GA) in order to trace out the efficient frontier associated...

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Bibliographic Details
Main Authors: mohammad taghi Taqavi Fard, taha Mansouri, mohsen Khosh Tinat
Format: Article
Language:fas
Published: Tarbiat Modares University 2008-01-01
Series:پژوهشهای اقتصادی
Subjects:
markowitz mean–variance model
efficient frontier
quadratic planning
cardinality constrains
genetic algorithm
Online Access:http://ecor.modares.ac.ir/article-18-273-en.pdf

Internet

http://ecor.modares.ac.ir/article-18-273-en.pdf

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