A heuristic algorithm for a portfolio optimization model applied to the Milan stock market

@article{Speranza1996AHA,
  title={A heuristic algorithm for a portfolio optimization model applied to the Milan stock market},
  author={Maria Grazia Speranza},
  journal={Computers & OR},
  year={1996},
  volume={23},
  pages={433-441}
}
Scope anti Pu rpose In portfolio optimization models the problem is considered of investing a capital in securities in such a way that the risk is minimized and a given rate of return is guaranteed. The most classical portfolio optimization model is the Markowitz model which is a quadratic programming model. More recently linear programming models have been proposed with a different definition of the risk function. The scope of the paper is to investigate the model resulting from the inclusion… CONTINUE READING
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