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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Tarbiat Modares University
2008-01-01
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| Series: | پژوهشهای اقتصادی |
| Subjects: | |
| Online Access: | http://ecor.modares.ac.ir/article-18-273-en.pdf |