A self-adaptive step-size search algorithm for the cardinality constrained portfolio optimisation problem
This paper proposes a Self-adaptive Step-size Search (SASS) algorithm to address a Cardinality Constrained Portfolio Optimisation Problem (CCPOP). The proposed methodology is tested using five datasets from OR-Library. Experiments are conducted to test different settings of the particles in the SASS...
| Main Authors: | , , |
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| Format: | Proceedings |
| Language: | English English |
| Published: |
IEEE
2024
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| Subjects: | |
| Online Access: | https://eprints.ums.edu.my/id/eprint/42111/1/ABSTRACT.pdf https://eprints.ums.edu.my/id/eprint/42111/2/FULL%20TEXT.pdf |