Izvestiya of Saratov University.

Mathematics. Mechanics. Informatics

ISSN 1816-9791 (Print)
ISSN 2541-9005 (Online)

For citation:

Khomchenko A. A., Mironov S. V., Sidorov S. P. Heuristic algorithm for the cardinality constrained portfolio optimization problem. Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, 2013, vol. 13, iss. 2, pp. 92-95. DOI: 10.18500/1816-9791-2013-13-2-2-92-95, EDN: RHABNB

This is an open access article distributed under the terms of Creative Commons Attribution 4.0 International License (CC-BY 4.0).
Published online: 
25.05.2013
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Language: 
Russian
Heading: 
Computer Sciences
UDC: 
519.85, 519.712
DOI: 
10.18500/1816-9791-2013-13-2-2-92-95
EDN: 
RHABNB

Heuristic algorithm for the cardinality constrained portfolio optimization problem

Autors: 
Khomchenko Andrei Anatol'evich, Saratov State University
Mironov Sergei Vladimirovich, Saratov State University
Sidorov Sergei Petrovich, Saratov State University
Abstract: 

 In the paper we consider the cardinality constrained portfolio optimization problem. Constraint on the number of assets in portfolio leads to the mixed integer optimization problem. Effective frontier is constructed using the metaheuristic approach by genetic algorithm. 

Key words: 
mixed-integer optimization
genetic algorithms
portfolio optimization problem
References: 
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Received: 
12.11.2012
Accepted: 
19.04.2013
Published: 
31.05.2013
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