http://orcid.org/0000-0002-6084-5676
References
- Anagnostopoulos, K., & Mamanis, G. (2011). The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms. Expert Systems with Applications, 38, 14208–14217. doi:10.1016/j.eswa.2011.04.233
- Bach, F., Ahipaşaoğlu, S. D., & d’Aspremont, A. (2010). Convex relaxations for subset selection. arXiv Preprint arXiv, 1006, 3601.
- Beasley, J. E. (1990). OR-library: Distributing test problems by electronic mail. Journal of the Operational Research Society, 41, 1069–1072. doi:10.1057/jors.1990.166
- Bertsimas, D., & Cory-Wright, R. (2019). A scalable algorithm for sparse portfolio selection. arXiv Preprint arXiv, 1811, 00138.
- Cesarone, F., Scozzari, A., & Tardella, F. (2013). A new method for mean-variance portfolio optimization with cardinality constraints. Annals of Operations Research, 205(1), 213–234. doi:10.1007/s10479-012-1165-7
- Chang, T.-J., Meade, N., Beasley, J. E., & Sharaiha, Y. M. (2000). Heuristics for cardinality constrained portfolio optimisation. Computers & Operations Research, 27, 1271–1302. doi:10.1016/S0305-0548(99)00074-X
- Craven, M. J., & Graham, D. I. (2017). Exploring the (efficient) frontiers of portfolio optimization. Proceedings of the Genetic and Evolutionary Computation Conference Companion (pp. 19–20). New York, USA: ACM.
- Craven, M. J., & Graham, D. I. (2020). A matrix-based evolutionary algorithm for cardinality-constrained portfolio optimisation. Retrieved from https://pearl.plymouth.ac.uk/handle/10026.1/15344
- Duran, F. E. C., Cotta, C., & Fernández-Leiva, A. J. (2012). A comparative study of multi-objective evolutionary algorithms to optimize the selection of investment portfolios with cardinality constraints. European Conference on the Applications of Evolutionary Computation (pp. 165–173). Berlin, Germany: Springer.
- Gao, J., & Li, D. (2013). Optimal cardinality constrained portfolio selection. Operations Research, 61, 745–761. doi:10.1287/opre.2013.1170
- Graham, D. I., & Craven, M. J. (2019). Sifted QP solutions for portfolio optimisation problems dataset. Retrieved from http://hdl.handle.net/10026.1/14270
- Lin, C.-C., & Liu, Y.-T. (2008). Genetic algorithms for portfolio selection problems with minimum transaction lots. European Journal of Operational Research, 185(1), 393–404. doi:10.1016/j.ejor.2006.12.024
- Lwin, K., Qu, R., & Kendall, G. (2014). A learning-guided multi-objective evolutionary algorithm for constrained portfolio optimization. Applied Soft Computing, 24, 757–772. doi:10.1016/j.asoc.2014.08.026
- Mansini, R., & Speranza, M. G. (1999). Heuristic algorithms for the portfolio selection problem with minimum transaction lots. European Journal of Operational Research, 114, 219–233. doi:10.1016/S0377-2217(98)00252-5
- Michalewicz, Z., & Fogel, D. B. (2013). How to solve it: Modern heuristics. Berlin, Germany: Springer Science & Business Media.
- Moral-Escudero, R., Ruiz-Torrubiano, R., & Suárez, A. (2006). Selection of optimal investment portfolios with cardinality constraints. IEEE Congress on Evolutionary Computation, CEC 2006 (pp. 2382–2388). New Jersey, USA: IEEE.