Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization
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- Nikos S. Thomaidis & Timotheos Angelidis & Vassilios Vassiliadis & Georgios Dounias, 2009. "Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 535-555.
References listed on IDEAS
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- Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
- Marco Corazza & Stefania Funari & Riccardo Gusso, 2012. "An evolutionary approach to preference disaggregation in a MURAME-based credit scoring problem," Working Papers 5, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
- Christos Konstantinou & Alexandros Tzanetos & Georgios Dounias, 2022. "Cardinality constrained portfolio optimization with a hybrid scheme combining a Genetic Algorithm and Sonar Inspired Optimization," Operational Research, Springer, vol. 22(3), pages 2465-2487, July.
- G.A. Vijayalakshmi Pai & Thierry Michel, 2012. "Integrated Metaheuristic Optimization Of 130–30 Investment‐Strategy‐Based Long–Short Portfolios," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 43-74, January.
- Marco Corazza & Giovanni Fasano & Riccardo Gusso, 2011. "Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem," Working Papers 2011_10, Department of Economics, University of Venice "Ca' Foscari".
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Keywords
Active portfolio management; tracking error; particle swarm optimization.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2008-01-26 (Computational Economics)
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