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Heuristic algorithms for the portfolio selection problem with minimum transaction lots

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  • Mansini, Renata
  • Speranza, Maria Grazia

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  • Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
    • Handle: RePEc:eee:ejores:v:114:y:1999:i:2:p:219-233
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    References listed on IDEAS

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    1. Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1263-1275, December.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    4. Stone, Bernell K., 1973. "A Linear Programming Formulation of the General Portfolio Selection Problem†," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 621-636, September.
    5. William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
    6. Charles D. Feinstein & Mukund N. Thapa, 1993. "Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model," Management Science, INFORMS, vol. 39(12), pages 1552-1553, December.
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