A robust heuristic for the optimal selection of a portfolio of stocks

DOI10.1504/IJOR.2010.035520zbMath1198.91196OpenAlexW2051671136MaRDI QIDQ606610

Michaël Schyns

Publication date: 17 November 2010

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

Full work available at URL: https://doi.org/10.1504/ijor.2010.035520

zbMATH Keywords

stocksrobustnesscombinatorial optimizationMarkowitz modeloperational researchminimum covariance determinantoptimization heuristicsbeta computationMCD estimatorstock portfolios

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Combinatorial optimization (90C27) Portfolio theory (91G10)

Uses Software

• robustbase

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