Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via Beetle Antennae Search algorithm (BAS)
Vasilios N. Katsikis, Spyridon D. Mourtas, Predrag S. Stanimirović, Shuai Li, Xinwei Cao
| Year of publication: |
2021
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|---|---|
| Authors: | Katsikis, Vasilios N. ; Mourtas, Spyridon D. ; Stanimirović, Predrag S. ; Li, Shuai ; Cao, Xinwei |
| Published in: |
Operations research forum. - Cham : Springer International Publishing, ISSN 2662-2556, ZDB-ID 2978290-9. - Vol. 2.2021, 2, Art.-No. 18, p. 1-26
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| Subject: | Mean-variance portfolio selection | Transaction costs | Cardinality constraint | Time-varying nonlinear programming | Transaktionskosten | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm | Nichtlineare Optimierung | Nonlinear programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s43069-021-00060-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012499184