A numerical evaluation of meta-heuristic techniques in portfolio optimisation
Authors: Loukeris, Nikolaos 
Donelly, D. 
Peng, Y. 
Khuman, A. 
Issue Date: 1-May-2009
Journal: Operational Research 
Volume: 9
Issue: 1
Keywords: Efficient frontier, Heuristics, Portfolio management, Power and quadratic utility
Abstract: 
Optimal portfolio management under only mean and variance/covariance measures in Markowitz (J Finance 7(1):77–91, 1952; J Polit Econ:152–158, 1952) and Tobin (Rev Econ Stud 25:65–86, 1958; Econometrica 26(1):24–36, 1958) framework, is inefficient in real stock markets, as investors do not have quadratic utility functions, and returns are not normally, independently, and identically distributed. He...
ISSN: 1866-1505
1109-2858
DOI: 10.1007/s12351-008-0028-0
URI: https://uniwacris.uniwa.gr/handle/3000/2195
Type: Article
Department: Department of Business Administration 
School: School of Administrative, Economics and Social Sciences 
Affiliation: University of West Attica (UNIWA) 
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