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Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm

DOI

216

Citations

33

References

2008

Year

Hamed Soleimani, Hamid Reza Golmakani, Mohammad Salimi
Expert Systems with Applications

References

YearCitations

Portfolio Selection: Efficient Diversification of Investments

Alan Stuart, Harry M. Markowitz

OR

1959

5.6K

Portfolio Selection

Harry M. Markowitz

The Journal of Finance

1952

4.4K

Portfolio Selection: Efficient Diversification of Investments.

H. S. Houthakker, Harry M. Markowitz

Journal of the American Statistical Association

1962

3.7K

Genetic programming II: Automatic discovery of reusable programs

Computers & Mathematics with Applications

1995

1.9K

Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market

Hiroshi Konno, Hiroaki Yamazaki

Management Science

1991

1.5K

Genetic Algorithms and Random Keys for Sequencing and Optimization

James C. Bean

INFORMS Journal on Computing

1994

1.5K

Genetic Algorithms, Tournament Selection, and the Effects of Noise.

Brad L. Miller, David E. Goldberg

1995

975

Heuristics for cardinality constrained portfolio optimisation

Tun-Jen Chang, Nigel Meade, J. E. Beasley,

Computers & Operations Research

2000

913

The optimization of a quadratic function subject to linear constraints

Harry M. Markowitz

Naval Research Logistics Quarterly

1956

535

The Simplex Method for Quadratic Programming

Philip Wolfe

Econometrica

1959

517

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