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- W2084971916 abstract "Since Markowitz’s seminal work on the mean-variance model in modern portfolio theory, many studies have been conducted on computational techniques and recently meta-heuristics for portfolio selection problems. In this work, we propose and investigate a new hybrid algorithm integrating the population based incremental learning and differential evolution algorithms for the portfolio selection problem. We consider the extended mean-variance model with practical trading constraints including the cardinality, floor and ceiling constraints. The proposed hybrid algorithm adopts a partially guided mutation and an elitist strategy to promote the quality of solution. The performance of the proposed hybrid algorithm has been evaluated on the extended benchmark datasets in the OR Library. The computational results demonstrate that the proposed hybrid algorithm is not only effective but also efficient in solving the mean-variance model with real world constraints." @default.
- W2084971916 created "2016-06-24" @default.
- W2084971916 creator A5019117993 @default.
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- W2084971916 date "2013-02-06" @default.
- W2084971916 modified "2023-10-06" @default.
- W2084971916 title "A hybrid algorithm for constrained portfolio selection problems" @default.
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- W2084971916 doi "https://doi.org/10.1007/s10489-012-0411-7" @default.
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