Semi-absolute deviation rule for mutual funds portfolio selection

被引：34

作者：

Chiodi, L

Mansini, R

Speranza, MG

机构：

[1] Univ Brescia, Dipartimento Elettron Automaz, I-25123 Brescia, Italy

[2] Cariplo, Brescia, Italy

[3] Univ Brescia, Dipartimento Metodi Quantitat, I-25122 Brescia, Italy

来源：

ANNALS OF OPERATIONS RESEARCH | 2003年 / 124卷 / 1-4期

关键词：

portfolio selection problem; mutual funds; heuristics;

D O I：

10.1023/B:ANOR.0000004772.15447.5a

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Investors consider mutual funds as an interesting investment opportunity. This is the result of the impressive growth shown by these financial products in recent times. In this paper we propose a mixed integer linear programming model dealing with the portfolio selection problem on mutual funds in a single period investment strategy. We propose some heuristics and compare their performance. According to the results obtained on real instances, heuristics have proved to be effective and efficient.

引用

页码：245 / 265

页数：21

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