بهینه سازی سبد سهام با استفاده از روش تبرید شبیه‌ سازی شده

Abdul Ali Zadeh Shahir, S. & Eshghi, K. (2003). Application of genetic algorithms to select assets in the stock exchange. Journal of Economic Research, (17): 175-192. (in Persian)

Anagnostopoulos, K.P., Mamanis, G. (2010). A portfolio optimization model with three objectives and discrete variables. Computers & Operations Research, 37 (7): 1285-1297.

Bashiri M. & Karimi, H. (2010). Application of heuristic and meta-heuristic algorithm for designing industrial systems. ­Tehran: Shahed University.
(in Persian)

Bertsimas, D., Shioda, R. (2009). Algorithm for cardinality-constrained quadratic optimization. Computational Optimization and Applications (43): 1–22.

Cerny, V. (1985). A thermodynamically approach to the traveling salesman problem: An efficient simulation algorithm. Journal of Optimization Theory and Application, (45): 41-45.

Chang, T.J., Meade, N., Beasley, J.E., Sharaiha, Y.M., (2000). Heuristics for cardinality constrained portfolio optimisation. Computers & Operations Research, (27): 1271–1302.

Chang, T.J., Yang, S.C., Chang, K.J. (2009). Portfolio optimization problems in different risk measures using genetic algorithm. Expert Systems with Applications, (36): 10529–10537.

Crama, Y., Schyns, M. (2003). Simulated annealing for complex portfolio selection problems. European Journal of Operational Research, (150): 546-571.

Deng, G.F., Lin, W.T. & Lo, Ch.Ch. (2012). Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization. Expert Systems with Applications, 39 (4): 4558-4566.

Elahi, M., Yousefi, Zare Mehrjerdi, Y. (2014). Portfolio optimization with mean-variance approach using hunting search meta-heuristic algorithm. Financial Research, 16 (1): 37-56. (in Persian)

Eslami Bidgoli, GH., Vafi Sani, J., Bajelan, M. (2009). Portfolio Optimization and Examination of the Effect of Diversification on Its Performance through Using Ant Colony Algorithm. Quarterly Journal of Securities Exchange, 2 (5): 57-75. (in Persian)

Fernandez, A., Gomez, S. (2007). Portfolio selection using neural networks. Computers & Operations Research, (34): 1177–1191.

Gulpinar, N., An, L.T.H., Moeini, M. (2010). Robust investment strategies with discrete asset choice constraints using DC programming. Optimization, (59): 45-62.

Kirkpatrick, S., Gelatt, C. D. & Vecchi, M. P. (1983). Optimization by simulated annealing. Science, (220): 671-680.

Maringer, D. (2005). Portfolio Management with Heuristic Optimization .Germany: Graw-Hill. Published by Springer.

Markowitz, H. (1952). Portfolio selection. Journal of Finance, (7):  77-91.

Markowitz, H.M. (1956). The optimization of a quadratic function subject to linear constraints. Naval Research Logistics Quarterly, (3): 111–133.

Modares, SA. & Estakhri Nazanin, M. (2007). Selecting a portfolio from­ listed companies in Tehran Stock Exchange by using Optimized­ Genetic Algorithm. Journal of Development and Investment, 1(1): 71-92. (in Persian)

Moral-Escudero, R., Ruiz-Torrubiano, R., Suarez, A. (2006). Selection of optimal investment portfolios with cardinality constraints. In: Proceedings of the 2006 IEEE Congress on Evolutionary Computation, 2382–2388. DOI: 10.1109/CEC.2006.1688603.

Raei, R. & Alibeiki, H. (2010). Portfolio optimization using particle swarm optimization method. Financial Research, 12 (29): 21-40. (in Persian)

Raei, R., Mohammadi, S., Alibeiki, H. (2011). Mean-Semivariance Portfolio Optimization Using Harmony Search Method. Management Research in Iran, 15 (3): 105-128. (in Persian)

Shaw, D.X., Liu, S. & Kopman, L. (2008). Lagrangian relaxation procedure for cardinality-constrained portfolio optimization. Optimization Methods & Software, (23): 411-420.

Soleimani, H., Golmakani, H.R., Salimi, M.H. (2009). Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm. Expert Systems with Applications, (36): 5058-5063.

Taqavifard, M., Mansouri, T. & Khosh-Tinat, M. (2007). A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints. The Economic Research, 7 (4): 49-69. (in Persian)

Vielma, J.P., Ahmed, S., Nemhauser, G.L. (2008). A lifted linear programming branchand-bound algorithm for mixed-integer conic quadratic programs. INFORMS Journal on Computing,  (20): 438-450.

Woodside-Oriakhi, M., Lucas, C. & Beasley, J.E. (2011). Heuristic algorithms for the cardinality constrained efficient frontier. European Journal of Operational Research, 213 (3): 538-550.

Zhu, H., Wang, Y., Wang, K., Chen, Y. (2011). Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem. Expert Systems with Applications 38 (8): 10161–10169.