Hagströmer, Björn; Binner, Jane M. - In: Applied financial economics 19 (2009) 19/21, pp. 1559-1571
Full-Scale Optimization (FSO) is a utility maximization approach to portfolio choice problems that has theoretical appeal but that suffers from computational burden in large scale problems. We apply the heuristic technique differential evolution to solve FSO-type asset selection problems of 97...