Simulated annealing algorithm for optimal capital growth

DOI10.1016/j.physa.2014.04.020zbMath1402.91377OpenAlexW1969010349MaRDI QIDQ1782909

Bo Zhu, Yong Luo, Yong Tang

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/231815/files/tan_saa.pdf

zbMATH Keywords

portfolio optimizationasset allocationsimulate annealingcapital growth

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Economic growth models (91B62)

Related Items (1)

Multiple-try simulated annealing algorithm for global optimization

Cites Work

• Unnamed Item
• Optimization by Simulated Annealing
• Kelly criterion revisited: Optimal bets
• Simulated annealing for complex portfolio selection problems.
• Analysis of finite length annealing schedules
• Optimization by Simulated Annealing: An Experimental Evaluation; Part I, Graph Partitioning
• Portfolio choice and the Bayesian Kelly criterion
• Universal Portfolios
• Optimal Gambling Systems for Favorable Games

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