A surrogate similarity measure for the mean-variance frontier optimisation problem under bound and cardinality constraints
Francisco Guijarro and Prodromos E. Tsinaslanidis
| Year of publication: |
2021
|
|---|---|
| Authors: | Guijarro Martinez, Francisco ; Tsinaslanidis, Prodromos E. |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 72.2021, 3, p. 564-579
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| Subject: | bound constraint | cardinality constraint | genetic algorithm | Portfolio optimisation | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Evolutionärer Algorithmus | Evolutionary algorithm | Theorie | Theory |
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