A hybrid approach to cardinality constraint portfolio selection problem based on nonlinear neural network and genetic algorithm
暂无分享,去创建一个
[1] H. Konno,et al. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market , 1991 .
[2] Duan Li,et al. OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION , 2006 .
[3] H. Markowitz. The Utility of Wealth , 1952, Journal of Political Economy.
[4] Francesco Cesarone,et al. A linear risk-return model for enhanced indexation in portfolio optimization , 2015, OR Spectr..
[5] Akbar Esfahanipour,et al. A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost , 2019, J. Comput. Appl. Math..
[6] Shurong Li,et al. A class of multi-period semi-variance portfolio selection with a four-factor futures price model , 2008 .
[7] Yazid M. Sharaiha,et al. Heuristics for cardinality constrained portfolio optimisation , 2000, Comput. Oper. Res..
[8] Yusif Simaan. Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model , 1997 .
[9] Andrea G. B. Tettamanzi,et al. A genetic approach to portfolio selection , 1993 .
[10] Hiroshi Konno,et al. Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints , 2001, Math. Program..
[11] Jun Wang,et al. A deterministic annealing neural network for convex programming , 1994, Neural Networks.
[12] Shalini Bhatia,et al. Portfolio Return Modelling Using ANFIS , 2012 .
[13] Philippe Jorion,et al. Risk2: Measuring the Risk in Value at Risk , 1996 .
[14] Daniel Bienstock,et al. Computational study of a family of mixed-integer quadratic programming problems , 1995, Math. Program..
[15] Michael A. Shanblatt,et al. A two-phase optimization neural network , 1992, IEEE Trans. Neural Networks.
[16] Francesco Cesarone,et al. Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models , 2016, Data in brief.
[17] Zili Zhang,et al. Uncertain portfolio selection with mental accounts and realistic constraints , 2019, J. Comput. Appl. Math..
[18] Francesco Cesarone,et al. Innovative Applications of O.R. On exact and approximate stochastic dominance strategies for portfolio selection , 2018 .
[19] Maria Grazia Speranza,et al. Kernel Search: An application to the index tracking problem , 2012, Eur. J. Oper. Res..
[20] John E. Beasley,et al. Mixed-integer programming approaches for index tracking and enhanced indexation , 2009, Eur. J. Oper. Res..
[21] Arthur Charpentier,et al. Estimating allocations for Value-at-Risk portfolio optimization , 2009, Math. Methods Oper. Res..
[22] John J. Hopfield,et al. Simple 'neural' optimization networks: An A/D converter, signal decision circuit, and a linear programming circuit , 1986 .
[23] Youshen Xia. A new neural network for solving linear programming problems and its application , 1996, IEEE Trans. Neural Networks.