DLINE Journals portal

[1] Markowitz, H. (1952) Portfolio selection. Journal of Finance, 7, 77–91 [DOI: 10.1111/j.1540-6261.1952.tb01525.x].
[2] Schlottmann, F. & Seese, D. (2004) Financial applications of multi-objective evolutionary algorithms: Recent developments and future research directions. In: Applications of Multi-Objective Evolutionary Algorithms, Vol. 2004 (edited by C. A. Coello Coello & G. B. Lamont). World Scientific Publishing: Singapore, pp. 627–652.
[3] Soleimani, H., Golmakani, H.R. & Salimi, M.H. (2009) Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm. Expert Systems with Applications, 36, 5058– 5063 [DOI: 10.1016/j.eswa.2008.06.007].
[4] Shoaf, J. & Foster, J. (1996) A genetic algorithm solution to the efficient set problem: A technique for portfolio selection based on the Markowitz model. In: Proceedings of the Decision Sciences Institute Annual Meeting, Orlando, FL, Vol. 1996, pp. 571– 573.
[5] Yan, W., Miao, R. & Li, S. (2007) Multi-period semi-variance portfolio selection: Model and numerical solution. Applied Mathematics and Computation, 194, 128–134 [DOI: 10.1016/j.amc.2007.04.036].
[6] Radziukyniene, I. & Zilinskas, A. (2008). Approximation of Pareto set in multi objective portfolio optimization,” in World Congress on Engineering [Selected papers]. Ser. Lecture Notes in Electrical Engineering. Springer: Berlin, pp. 551–562.
[7] Lwin, K.T., Qu, R. & MacCarthy, B.L. (2017). ISSN 0377-2217 Mean-VaR portfolio optimization: A nonparametric approach. European Journal of Operational Research, 260, 751–766 [DOI: 10.1016/j.ejor.2017.01.005].
[8] Cornuejols, G. & Tütüncü, R. (2006). Optmization Methods in Finance, 349 p. Carnegie Mellon University: Pittsburgh, USA. USA, p. 15213.
[9] Liagkouras, K. & Metaxiotis, K. (2015) Efficient portfolio construction with the use of multiobjective evolutionary algorithms: Best practices and performance metrics. International Journal of Information Technology and Decision Making, 14, 535–564 [DOI: 10.1142/S0219622015300013].
[10] Jin, Y., Qu, R. & Atkin, J. (2016) Constrained portfolio optimisation: The state-of-the-art Markowitz models. In: Proceedings of the 5th Therapeutic International Conference on Operations Research and Enterprise Systems The 2016 International Conference on Operations Research and Enterprise Systems, 23-25 February 2016, Rome, Italy, ISBN: 9789897581717, p 388– 395.
[11] Bertsimas, D. & Shioda, R. Algorithm for cardinalityconstrained quadratic optimization. Computational Optimization and Applications, 9126–9. https://pdfs.semanticscholar.org/e68e/7d526372903b4cc510bc1e0e8a3a0b3843ad.pdf [DOI: 10.1007/s10589- 007].
[12] Bienstock, D. (1996) Computational study of a family of mixedinteger quadratic programming problems. Mathematical Programming, 74, 121–140 [DOI: 10.1007/BF02592208].
[13] Bomze, M. (1998) On standard quadratic optimization problems. Journal of Global Optimization 13, 2, 369–387.
[14] EURONEXT. https://finance.yahoo.com/quote/%5EN100?p=%5EN100, Vol. 100 (^N100).
[15] CBOE interest rate 10 year T No (^TNX). https://finance.yahoo.com/bonds.
[16] MATLAB. www.mathworks.com/products/matlab/.
[17] Hochreiter, R. (2007). An evolutionary computation approach to scenario-based risk-return portfolio optimization for general risk measures, in Proceedings of the 2007 EvoWorkshops 2007 on EvoCoMnet, EvoFIN, EvoIASP, EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTransLog. Berlin, Heidelberg: Springer-Verlag, 2007, pp. 199-207.
[18] Garkaz, M. (2011). The Selection and Optimization of Stock Portfolio using Genetic Algorithm based on Mean Semi-variance Model, International Conference on Economics and Finance Research. IPEDR, LACSIT Press, Singapore, 4, 2011, pages 379- 381.
[19] Di Tollo., G., Roli, A. (2008). Metaheuristics for the portfolio selection problem. International Journal of Operations Research, 5 (1) 13-35.