Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure

DOI10.1111/itor.13239MaRDI QIDQ6056329

S. A. MirHassani, Unnamed Author, F. Hooshmand

Publication date: 29 September 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

zbMATH Keywords

value-at-risktransaction costportfolio selection problemcardinality constraintiterative-based heuristic algorithmscenario-based model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (2)

Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm ⋮ The performance of bank portfolio optimization

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