How to cite this paper
Raei, R & Karimi, P. (2014). Asset management using an extended Markowitz theorem.Management Science Letters , 4(6), 1309-1314.
Refrences
Arugaslan, O., Edwards, E., & Samant, A. (2008). Evaluating large US-based equity mutual funds using risk adjusted performance measures. International Journal of Commerce and Management, 17(1/2), 6-24.
Chang, T. J., Meade, N., Beasley, J. E., & Sharaiha, Y. M. (2000). Heuristics for cardinality constrained portfolio optimisation. Computers & Operations Research, 27(13), 1271-1302.
Fabozzi, F. J., Kolm, P. N., Pachamanova, D., & Focardi, S. M. (2007). Robust portfolio optimization and management. John Wiley & Sons.
Goldberg, D.E. (1989). Genetic Algorithms in Search, Optimization and Machine Learning. Addison Wesley Longman.
Holland, J.H. (1975). Adaptation in Natural and Artificial Systems. University of Michigan Press, Ann Arbor.
Hübner, G. (2007). How do performance measures perform?. The Journal of Portfolio Management, 33(4), 64-74.
Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfolios. Journal of business, 42(2), 167.
Kennedy, J., & Eberhart, R.C. (1995).Particle swarm optimization. In: Proceedings of the 1995 IEEE International Conference on Neural Networks, 4, 1942-1948.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
Markowitz, H. M. (1970). Portfolio selection: efficient diversification of investments (Vol. 16). Yale University Press.
Maringer, D., & Kellerer, H. (2003). Optimization of cardinality constrained portfolios with a hybrid local search algorithm. OR Spectrum, 25(4), 481-495.
Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(S1), 119–138.
Sharpe, W. F. (1994). The Sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58.
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(3), 5058-5063.
Streichert, F., Ulmer, H., & Zell, A. (2004). Evolutionary algorithms and the cardinality constrained portfolio optimization problem. In Operations Research Proceedings 2003 (pp. 253-260). Springer Berlin Heidelberg.
Chang, T. J., Meade, N., Beasley, J. E., & Sharaiha, Y. M. (2000). Heuristics for cardinality constrained portfolio optimisation. Computers & Operations Research, 27(13), 1271-1302.
Fabozzi, F. J., Kolm, P. N., Pachamanova, D., & Focardi, S. M. (2007). Robust portfolio optimization and management. John Wiley & Sons.
Goldberg, D.E. (1989). Genetic Algorithms in Search, Optimization and Machine Learning. Addison Wesley Longman.
Holland, J.H. (1975). Adaptation in Natural and Artificial Systems. University of Michigan Press, Ann Arbor.
Hübner, G. (2007). How do performance measures perform?. The Journal of Portfolio Management, 33(4), 64-74.
Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfolios. Journal of business, 42(2), 167.
Kennedy, J., & Eberhart, R.C. (1995).Particle swarm optimization. In: Proceedings of the 1995 IEEE International Conference on Neural Networks, 4, 1942-1948.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
Markowitz, H. M. (1970). Portfolio selection: efficient diversification of investments (Vol. 16). Yale University Press.
Maringer, D., & Kellerer, H. (2003). Optimization of cardinality constrained portfolios with a hybrid local search algorithm. OR Spectrum, 25(4), 481-495.
Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(S1), 119–138.
Sharpe, W. F. (1994). The Sharpe ratio. The Journal of Portfolio Management, 21(1), 49–58.
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(3), 5058-5063.
Streichert, F., Ulmer, H., & Zell, A. (2004). Evolutionary algorithms and the cardinality constrained portfolio optimization problem. In Operations Research Proceedings 2003 (pp. 253-260). Springer Berlin Heidelberg.