Abstract Factor analysis proposes an alternative approach to standard portfolio theory: the latter is optimisation based, while former estimation based. Also, in theory, returns are only explained by volatility factor, factor a multiplicity of factors, which managers can choose from tilt their portfolios. In attempting reconcile these worlds, we propose penalised utility function, incorporating...

A memetic approach that combines a genetic algorithm (GA) and quadratic programming is used to address the problem of optimal portfolio selection with cardinality constraints and piecewise linear transaction costs. The framework used is an extension of the standard Markowitz mean–variance model that incorporates realistic constraints, such as upper and lower bounds for investment in individual ...

Background: Bin packing is an NP hard optimization problem of packing items of given sizes into minimum number of capacity limited bins. Besides the basic problem, numerous other variants of bin packing exist. The cardinality constrained bin packing adds an additional constraint that the number of items in a bin must not exceed a given limit Nmax. Objectives: Goal of the paper is to present a p...