A Population-Based Incremental Learning Method for Constrained Portfolio Optimisation

This paper investigates a hybrid algorithm which utilizes exact and heuristic methods to optimise asset selection and capital allocation in portfolio optimisation. The proposed method is composed of a customised population based incremental learning procedure and a mathematical programming applicati...

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Vydané v:	2014 16th International Symposium on Symbolic and Numeric Algorithms for Scientific Computing s. 212 - 219
Hlavní autori:	Yan Jin, Rong Qu, Atkin, Jason
Médium:	Konferenčný príspevok..
Jazyk:	English
Vydavateľské údaje:	IEEE 01.09.2014
Predmet:	Heuristic algorithms Mathematical model Optimization Portfolios Sociology Statistics Vectors
ISBN:	9781479984473, 1479984477
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