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Strategic capital budgeting: asset replacement under market uncertainty

Optimization of cardinality constrained portfolios with a hybrid local search algorithm

Optimal lower bounds on the contribution margin in the case of stochastic order arrival

Assessing the resource usage in scheduling with incompatibilities

Flow-shop problems with intermediate buffers

Advanced preprocessing techniques for linear and quadratic programming

Acknowledgement to Referees

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Optimization of cardinality constrained portfolios with a hybrid local search algorithm

Content Provider	Springer Nature Link
Author	Maringer, Dietmar Kellerer, Hans
Copyright Year	2003
Abstract	One of the main advantages of portfolios over single assets is that risk can be diversified without necessarily reducing the expected return - provided "proper" assets are selected and they are assigned the "proper" weights. Since in practice investors tend to restrict themselves to a rather small number of different assets, the decision which securities to include is a crucial one that turns out to be NP-hard. In this paper we suggest a hybrid local search algorithm which combines principles of Simulated Annealing and evolutionary strategies and which proved to highly efficiently approach this problem.
Starting Page	481
Ending Page	495
Page Count	15
File Format	PDF
ISSN	01716468
Journal	OR Spectrum
Volume Number	25
Issue Number	4
e-ISSN	14366304
Language	English
Publisher	Springer-Verlag
Publisher Date	2003-01-01
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Portfolio optimization Local search Simulated annealing Evolutionary strategies Methaheuristic
Content Type	Text
Resource Type	Article
Subject	Management Science and Operations Research Business, Management and Accounting

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Optimization of Cardinality Constrained Portfolios with an Hybrid Local Search Algorithm (2001)

Simulated annealing with asymptotic convergence for nonlinear constrained optimization

A local relaxation method for the cardinality constrained portfolio optimization problem

Evolutionary Algorithms and the Cardinality Constrained Portfolio Optimization Problem (2003)

A new IPSO-SA approach for cardinality constrained portfolio optimization

Hybrid evolutionary algorithm for solving general variational inequality problems

Hybrid Approaches and Dimensionality Reduction for Portfolio Selection with Cardinality Constraints

Derivative-Free Filter Simulated Annealing Method for Constrained Continuous Global Optimization

A new multiobjective simulated annealing algorithm

Optimization of cardinality constrained portfolios with a hybrid local search algorithm

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