IEEE - Institute of Electrical and Electronics Engineers, Inc. - Selection of Optimal Investment Portfolios with Cardinality Constraints

2006 IEEE Congress on Evolutionary Computation

Author(s): R. Moral-Escudero ; R. Ruiz-Torrubiano ; A. Suarez
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 January 2006
Conference Location: Vancouver, BC, Canada
Conference Date: 16 July 2006
Page(s): 2,382 - 2,388
ISBN (Paper): 0-7803-9487-9
DOI: 10.1109/CEC.2006.1688603
Regular:

We consider the problem of selecting an optimal portfolio within the standard mean-variance framework extended to include constraints of practical interest, such as limits on the number of assets... View More

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