Izvestiya of Saratov University.

Mathematics. Mechanics. Informatics

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

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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

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Heuristic algorithm for the cardinality constrained portfolio optimization problem

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

 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. 

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