Selecting Optimal Portfolio Using Multi-objective Extended Markowitz Model and Harmony Search Algorithm
Morkowitz model is one of the well-known models in portfolio selection problem. This paper presents an extended version of Markowitz mean semi variance portfolio selection model. The extended model considers sets of constraints including cardinality, bounds on holdings, sector capitalization, an ent...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2016-11-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_62452_d41d8cd98f00b204e9800998ecf8427e.pdf |