Index tracking optimization with cardinality constraint: a performance comparison of genetic algorithms and tabu search heuristics
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DOI: 10.1007/s00521-017-2882-2
Abstract: The aim of this study was to compare the performance of the well-known genetic algorithms and tabu search heuristics with the financial problem of the partial tracking of a stock market index. Although the weights… read more here.
Keywords: index; search; genetic algorithms; tabu search ... See more keywords