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A New Approach to Solve an Extended Portfolio Selection Problem
| Content Provider | Semantic Scholar |
|---|---|
| Author | Babaei, Mohammad Hossein Hamidi, Mohammadreza Jahani, Ehsan Abgarmi, Hossein Pasha |
| Copyright Year | 2012 |
| Abstract | In this paper, a Meta heuristic method is used to solve an extended Markowitz mean-variance portfolio selection model. Since the problem is modeled by quadratic integer programming, we should use Meta heuristics to solve it. This paper proposes a simulated annealing Meta heuristic method to solve the problem and the results for a large scale example is compared with genetic algorithm. The Computational results show that the proposed method is more efficient on large scale examples. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.iieom.org/ieom2012/pdfs/464.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |