Simulated annealing for complex portfolio selection problems
Article Abstract:
The application of a simulated annealing approach to the solution of a complex portfolio selection model is described. This model is a quadratic programming problem which arises when Markowitz' classical mean-variance model is enriched with the additional realistic constraints.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2003
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Pareto ant colony optimization with ILP preprocessing in multiobjective project portfolio selection
Article Abstract:
Solution for identifying optimal project portfolio is derived, through Pareto ant colony optimization using integer linear programming.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2006
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Optimal portfolio selection and dynamic benchmark tracking
Article Abstract:
An analysis of the methods of portfolio selections when the portfolio performances are ranked against a given benchmark is presented.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2005
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