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Mathematical finance / Investment / Efficient frontier / Mathematical optimization / Quadratic programming / Normal distribution / Mutual fund separation theorem / Modern portfolio theory / Financial economics / Economics / Finance


Heuristics for cardinality constrained portfolio optimisation T.-J. Chang1 N. Meade1 J.E. Beasley1 Y.M. Sharaiha2
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Document Date: 2012-06-26 15:05:28

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London / /

Company

Morgan Stanley / Suzuki / Efficient frontier / Cabot / /

Country

United Kingdom / United States / /

Currency

GBP / /

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Facility

Cabot Square / Canary Wharf / /

IndustryTerm

genetic algorithms / heuristic algorithms / tabu search / heuristic solutions / /

MarketIndex

FTSE 100 / /

Person

Mitchell / Lee / /

ProgrammingLanguage

MAD / /

Technology

three heuristic algorithms / /

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