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A similarity measure for the cardinality constrained frontier in the mean-variance optimization model

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A similarity measure for the cardinality constrained frontier in the mean-variance optimization model

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Guijarro, F. (2018). A similarity measure for the cardinality constrained frontier in the mean-variance optimization model. Journal of the Operational Research Society. 69(6):928-945. doi:10.1057/s41274-017-0276-6

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/107467

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Title: A similarity measure for the cardinality constrained frontier in the mean-variance optimization model
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Issued date:
Embargo end date: 2019-01-01
Abstract:
[EN] This paper proposes a new measure to find the cardinality constrained frontier in the meanvariance portfolio optimization problem. In previous research, assets belonging to the cardinality constrained portfolio change ...[+]
Subjects: Finance , Portfolio selection , Constrained frontier , Cardinality , Genetic algorithm
Copyrigths: Reserva de todos los derechos
Source:
Journal of the Operational Research Society. (issn: 0160-5682 )
DOI: 10.1057/s41274-017-0276-6
Publisher:
Nature Publishing Group - Macmillan Publishers
Publisher version: http://doi.org/10.1057/s41274-017-0276-6
Type: Artículo

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