Abstract
There is a variety of models for portfolio selection. However, in portfolio theory applications little or no attention is paid to the cardinality problem. In this paper, an algorithm for dealing with this problem is presented. The proposed allocation algorithm is implemented in a software system, which is based on the Fuzzy Logic Q-measure Model and manages financial investments in real time. Tests on real data from Bulgarian Stock Exchange are presented as illustration to the solution.
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Georgieva, P., Popchev, I. (2013). Cardinality Problem in Portfolio Selection. In: Tomassini, M., Antonioni, A., Daolio, F., Buesser, P. (eds) Adaptive and Natural Computing Algorithms. ICANNGA 2013. Lecture Notes in Computer Science, vol 7824. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-37213-1_22
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DOI: https://doi.org/10.1007/978-3-642-37213-1_22
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-37212-4
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