A combinatorial algorithm for the cardinality constrained portfolio optimization problem

Keyphrases

• Portfolio Optimization 100%
• Particle Swarm Optimization 100%
• Cardinality Constraint 100%
• Cardinality Constrained Portfolio Optimization Problem 100%
• Combinatorial Algorithms 100%
• Problem-based 50%
• Heuristic Approach 50%
• CPLEX 50%
• Benchmark Dataset 50%
• Computational Results 50%
• Bound Constraints 50%
• Programming Method 50%
• Expected Returns 50%
• Portfolio Risk 50%
• Mixed Integer Programming 50%
• Algorithm Comparison 50%
• OR-library 50%
• Math Programming 50%
• Mathematical Programming Method 50%
• Modern Portfolio Theory 50%

Computer Science

• Optimization Problem 100%
• Cardinality 100%
• Particle Swarm Optimization 66%
• Programming Method 66%
• Metaheuristics 33%
• Integer Program 33%
• Expected Return 33%
• Mathematical Programming 33%