Cite this article as:
Khomchenko A. A., Lucas C. ., Mironov S. V., Sidorov S. P. Heuristic algorithm for the cardinality constrained portfolio optimization problem . Izv. Saratov Univ. (N. S.), Ser. Math. Mech. Inform., 2013, vol. 13, iss. 2, pp. 92-95. DOI: https://doi.org/10.18500/1816-9791-2013-13-2-2-92-95
Heuristic algorithm for the cardinality constrained portfolio optimization problem
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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