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  • Search: subject:"NP-hard mathematical programming problem"
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Subject
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NP-hard mathematical programming problem 1 PSO 1 Portfolio selection 1 SP100 index's assets 1 coherent risk measure 1 exact penalty method 1 fund management constraints 1
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Corazza, Marco 1 Fasano, Giovanni 1 Gusso, Riccardo 1
Institution
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Dipartimento di Economia, Università Ca' Foscari Venezia 1
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Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia 1
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RePEc 1
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Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem
Corazza, Marco; Fasano, Giovanni; Gusso, Riccardo - Dipartimento di Economia, Università Ca' Foscari Venezia - 2011
In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative measures of risk have been proposed. In...
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