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  • Portfolio optimization is one of the important areas of finance. In this paper cardinality constrained mean-variance model is used. It is very similar to well known Markowitz mean-variance model, the only difference is that the number of assets held is limited. To solve this modified model binary version of a particle swarm optimization in co-operation with nonlinear programming is utilized. The results show that the binary particle swarm optimization approach is successful in the portfolio optimization.
  • Portfolio optimization is one of the important areas of finance. In this paper cardinality constrained mean-variance model is used. It is very similar to well known Markowitz mean-variance model, the only difference is that the number of assets held is limited. To solve this modified model binary version of a particle swarm optimization in co-operation with nonlinear programming is utilized. The results show that the binary particle swarm optimization approach is successful in the portfolio optimization. (en)
Title
  • Cardinality constrained portfolio optimization
  • Cardinality constrained portfolio optimization (en)
skos:prefLabel
  • Cardinality constrained portfolio optimization
  • Cardinality constrained portfolio optimization (en)
skos:notation
  • RIV/61989100:27510/09:00020624!RIV10-GA0-27510___
http://linked.open...avai/riv/aktivita
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  • P(GA402/08/1237)
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  • 305888
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  • RIV/61989100:27510/09:00020624
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  • Portfolio optimization; particle swarm optimization. (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [2998DD008FBF]
http://linked.open...v/mistoKonaniAkce
  • PEF MZLU v Brně
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  • Brno
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  • MendelNet PEF 2009
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  • Kresta, Aleš
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http://linked.open.../riv/zahajeniAkce
number of pages
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  • Mendelova zemědělská a lesnická univerzita v Brně
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  • 978-80-7375-351-1
http://localhost/t...ganizacniJednotka
  • 27510
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