Woodside-Oriakhi, M.; Lucas, C.; Beasley, J.E. - In: European Journal of Operational Research 213 (2011) 3, pp. 538-550
This paper examines the application of genetic algorithm, tabu search and simulated annealing metaheuristic approaches to finding the cardinality constrained efficient frontier that arises in financial portfolio optimisation. We consider the mean-variance model of Markowitz as extended to...