Hybridising local search with Branch-and-Bound for constrained portfolio selection problems
In this paper, we investigate a constrained portfolio selection problem with cardinality constraint, minimum size and position constraints, and non-convex transaction cost. A hybrid method named Local Search Branch-and-Bound (LS-B&B) which integrates local search with B&B is proposed based o...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Published: |
2016
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| Online Access: | https://eprints.nottingham.ac.uk/33877/ |