期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 150, 期 3, 页码 546-571出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/S0377-2217(02)00784-1
关键词
finance; simulated annealing; metaheuristics; portfolio selection; quadratic programming
This paper describes the application of a simulated annealing approach to the solution of a complex portfolio selection model. The model is a mixed integer quadratic programming problem which arises when Markowitz' classical mean-variance model is enriched with additional realistic constraints. Exact optimization algorithms run into difficulties in this framework and this motivates the investigation of heuristic techniques. Computational experiments indicate that the approach is promising for this class of problems. (C) 2003 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据