Multi-period mean-variance portfolio selection with practical constraints using heuristic genetic algorithms
Year of publication: |
2020
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Authors: | Chen, Yao-Tsung ; Yang, Hao-Qun |
Published in: |
International journal of computational economics and econometrics : IJCEE. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1189, ZDB-ID 2545120-0. - Vol. 10.2020, 3, p. 209-221
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Subject: | multi-period portfolio selection | mean-variance formulation | genetic algorithm | transaction costs | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Evolutionärer Algorithmus | Evolutionary algorithm | Transaktionskosten | Transaction costs | Heuristik | Heuristics |
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