Giovanni Fasano

affiliation not provided to SSRN

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Particle Swarm Optimization with Non-Smooth Penalty Reformulation for a Complex Portfolio Selection Problem

Number of pages: 22 Posted: 04 Aug 2011
Marco Corazza, Giovanni Fasano and Riccardo Gusso
Ca Foscari University of Venice - Dipartimento di Economia, affiliation not provided to SSRN and Independent
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Abstract:

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portfolio selection, coherent risk measure, fund management constraints, NP-hard mathematical programming problem, PSO, exact penalty method, SP100 index's assets