A popular argument states that most of the diversification in a portfolio can be obtained with a rather small number of securities. In this paper we present three algorithms to approach the underlying NP-hard problem of portfolio optimization with a cardinality constraint. All three of these...

Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market time series. At least for some parameter settings,...

We continue our research into the Quasi Monte Carlo simulation method and its application in macroeconometrics. Prior research indicated Quasi Monte Carlo simulation to be superior to traditional Monte Carlo methods. Now we address additional important issues including the robustness of the...