Metaheuristic approaches to realistic portfolio optimisation
In this thesis we investigate the application of two heuristic methods, genetic algorithms and tabu/scatter search, to the optimisation of realistic portfolios. The model is based on the classical mean-variance approach, but enhanced with floor and ceiling constraints, cardinality constraints and...
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| Format: | Others |
| Language: | en |
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2015
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| Online Access: | http://hdl.handle.net/10500/16224 |