Heuristic algorithms for the portfolio selection problem with minimum transaction lots-Reference-Cited by-同舟云学术

Heuristic algorithms for the portfolio selection problem with minimum transaction lots

Published:1999-04 Issue:2 Volume:114 Page:219-233
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Mansini Renata,Speranza Maria Grazia

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference15 articles.

1. Portfolio selection;Markowitz;Journal of Finance,1952

2. A linear programming approximation for a mutual fund portfolio selection;Sharpe;Management Science,1967

3. W.F. Sharpe, A linear programming approximation for the general portfolio analysis problem. Journal of Financial and Quantitative Analysis, December (1971) 1263–1275

4. B.K. Stone, A linear programming formulation of the general portfolio selection problem, Journal of Financial and Quantitative Analysis, September (1973) 621–636

5. H. Takehara, An application of the interior point algorithm for large scale optimization in finance, Proceedings Third RAMP Symposium, Journal of the Operational Research Society of Japan, 1991, pp. 43–52

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