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A new IPSO-SA approach for cardinality constrained portfolio optimization

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Academic year: 2017

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Fig. 2. IPSO-SA algorithm for the solution of cardinality constrained portfolio optimization problem In order to test the effectiveness of the proposed algorithm, we compute the heuristic efficient frontier  and compare it with standard efficient frontiers
Table 4 shows the comparative results, and Fig.3 illustrates the comparison of efficient frontiers
Fig. 3. IPSO-SA efficient frontier vs. the standard efficient frontier 4.3. Analysis of results

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