Hybridising local search with Branch-and-Bound for constrained portfolio selection problems

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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...

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Bibliographic Details
Main Authors:	He, Fang, Qu, Rong
Format:	Conference or Workshop Item
Published:	2016
Online Access:	https://eprints.nottingham.ac.uk/33877/

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