{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,2]],"date-time":"2026-05-02T20:29:14Z","timestamp":1777753754814,"version":"3.51.4"},"reference-count":48,"publisher":"Elsevier BV","issue":"13","license":[{"start":{"date-parts":[[2000,11,1]],"date-time":"2000-11-01T00:00:00Z","timestamp":973036800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Computers & Operations Research"],"published-print":{"date-parts":[[2000,11]]},"DOI":"10.1016\/s0305-0548(99)00074-x","type":"journal-article","created":{"date-parts":[[2002,7,26]],"date-time":"2002-07-26T02:42:44Z","timestamp":1027651364000},"page":"1271-1302","source":"Crossref","is-referenced-by-count":686,"title":["Heuristics for cardinality constrained portfolio optimisation"],"prefix":"10.1016","volume":"27","author":[{"given":"T.-J.","family":"Chang","sequence":"first","affiliation":[]},{"given":"N.","family":"Meade","sequence":"additional","affiliation":[]},{"given":"J.E.","family":"Beasley","sequence":"additional","affiliation":[]},{"given":"Y.M.","family":"Sharaiha","sequence":"additional","affiliation":[]}],"member":"78","reference":[{"key":"10.1016\/S0305-0548(99)00074-X_BIB1","doi-asserted-by":"crossref","first-page":"77","DOI":"10.2307\/2975974","article-title":"Portfolio selection","volume":"7","author":"Markowitz","year":"1952","journal-title":"Journal of Finance"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB2","unstructured":"Markowitz HM. Portfolio selection: efficient diversification of investments. New York: Wiley, 1959."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB3","doi-asserted-by":"crossref","first-page":"599","DOI":"10.1080\/758533851","article-title":"Stylized facts on the temporal and distributional properties of daily FT-SE returns","volume":"7","author":"Mills","year":"1997","journal-title":"Applied Financial Economics"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB4","doi-asserted-by":"crossref","unstructured":"Dahl H, Meeraus A, Zenios SA. Some financial optimization models: I risk management. In: Zenios SA, editor. Financial optimization. 1993. p. 3\u201336 Cambridge: Cambridge University Press.","DOI":"10.1017\/CBO9780511522130.003"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB5","unstructured":"Elton EJ, Gruber MJ. Modern portfolio theory and investment analysis. New York: Wiley, 1995."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB6","unstructured":"Rudd A, Rosenberg B. Realistic portfolio optimization. In: Elton EJ, Gruber MJ editors. Portfolio theory, 25 years after. TIMS Studies in the Management Sciences, vol. 11. Amsterdam: North-Holland, 1979. p. 21\u201346."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB7","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1287\/mnsc.37.5.519","article-title":"Mean-absolute deviation portfolio optimization model and its applications to Tokyo Stock Market","volume":"37","author":"Konno","year":"1991","journal-title":"Management Science"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB8","doi-asserted-by":"crossref","first-page":"139","DOI":"10.15807\/jorsj.33.139","article-title":"Piecewise linear risk-function and portfolio optimization","volume":"33","author":"Konno","year":"1990","journal-title":"Journal of the Operations Research Society of Japan"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB9","doi-asserted-by":"crossref","first-page":"1437","DOI":"10.1287\/mnsc.43.10.1437","article-title":"Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model","volume":"43","author":"Simaan","year":"1997","journal-title":"Management Science"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB10","doi-asserted-by":"crossref","first-page":"205","DOI":"10.1007\/BF02282050","article-title":"A mean-absolute deviation-skewness portfolio optimization model","volume":"45","author":"Konno","year":"1993","journal-title":"Annals of Operations Research"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB11","doi-asserted-by":"crossref","first-page":"173","DOI":"10.15807\/jorsj.38.173","article-title":"A mean-variance-skewness portfolio optimization model","volume":"38","author":"Konno","year":"1995","journal-title":"Journal of the Operations Research Society of Japan"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB12","doi-asserted-by":"crossref","first-page":"1921","DOI":"10.1080\/00207729408949322","article-title":"Portfolio selection in downside risk optimization approach \u2013 application to the Hong Kong stock market","volume":"25","author":"Feiring","year":"1994","journal-title":"International Journal of Systems Science"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB13","doi-asserted-by":"crossref","first-page":"85","DOI":"10.1016\/0377-2217(94)90397-2","article-title":"A simple algorithm to incorporate transaction costs in quadratic optimisation","volume":"79","author":"Adcock","year":"1994","journal-title":"European Journal of Operational Research"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB14","doi-asserted-by":"crossref","first-page":"1642","DOI":"10.1287\/mnsc.38.11.1642","article-title":"Stochastic network programming for financial planning problems","volume":"38","author":"Mulvey","year":"1992","journal-title":"Management Science"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB15","doi-asserted-by":"crossref","first-page":"99","DOI":"10.15807\/jorsj.39.99","article-title":"The mean-variance approach to portfolio optimization subject to transaction costs","volume":"39","author":"Yoshimoto","year":"1996","journal-title":"Journal of the Operations Research Society of Japan"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB16","doi-asserted-by":"crossref","unstructured":"Bienstock D. Computational study of a family of mixed-integer quadratic programming problems. In: Balas E, Clausen J, editors. Integer Programming and Combinatorial Optimization: 4th International IPCO Conference, Copenhagen, Denmark, May 1995 Proceedings, Lecture Notes in Computer Science, vol. 920. Berlin: Springer, 1995.","DOI":"10.1007\/3-540-59408-6_43"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB17","doi-asserted-by":"crossref","first-page":"121","DOI":"10.1007\/BF02592208","article-title":"Computational study of a family of mixed-integer quadratic programming problems","volume":"74","author":"Bienstock","year":"1996","journal-title":"Mathematical Programming"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB18","unstructured":"GAMS Development Corporation. http:\/\/www.gams.com\/modlib\/libhtml\/qp4.htm, 1999."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB19","doi-asserted-by":"crossref","unstructured":"Shiryaev AN. Probability, 2nd ed. Berlin: Springer, 1996. p. 235.","DOI":"10.1007\/978-1-4757-2539-1"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB20","unstructured":"Wilks SS. Mathematical statistics. New York: Wiley, 1962. p. 82."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB21","doi-asserted-by":"crossref","first-page":"359","DOI":"10.1016\/0305-0548(94)90024-8","article-title":"An improved branch and bound algorithm for mixed integer nonlinear programs","volume":"21","author":"Borchers","year":"1994","journal-title":"Computers & Operations Research"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB22","doi-asserted-by":"crossref","first-page":"699","DOI":"10.1016\/S0305-0548(97)00002-6","article-title":"A computational comparison of branch and bound and outer approximation algorithms for 0\u20131 mixed integer nonlinear programs","volume":"24","author":"Borchers","year":"1997","journal-title":"Computers & Operations Research"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB23","doi-asserted-by":"crossref","unstructured":"Floudas CA. Nonlinear and mixed-integer optimization: fundamentals and applications. Oxford: Oxford University Press, 1995.","DOI":"10.1093\/oso\/9780195100563.001.0001"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB24","doi-asserted-by":"crossref","first-page":"97","DOI":"10.1287\/ijoc.5.2.97","article-title":"Constrained nonlinear 0\u20131 programming","volume":"5","author":"Hansen","year":"1993","journal-title":"ORSA Journal on Computing"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB25","unstructured":"Lee EK, Mitchell JE. Computational experience of an interior-point SQP algorithm in a parallel branch-and-bound framework. Working paper available from the second author at Department of Mathematical Sciences, Rensselaer Polytechnic Institute, Troy, NY 12180-3590, USA, 1997."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB26","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1016\/0305-0548(95)00030-5","article-title":"A heuristic algorithm for a portfolio optimization model applied to the Milan stock market","volume":"23","author":"Speranza","year":"1996","journal-title":"Computers & Operations Research"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB27","unstructured":"Mansini R, Speranza MG. Heuristic algorithms for the portfolio selection problem with minimum transaction lots. Working paper available from the second author at Dip. di Metodi Quantitativi, Universita di Brescia, C.da.S Chiara 48\/b, 25122 Brescia, Italy, 1997."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB28","unstructured":"Kellerer H, Mansini R, Speranza MG. On selecting a portfolio with fixed costs and minimum transaction lots. Working paper available from the third author at Dip. di Metodi Quantitativi, Universita di Brescia, C.da.S Chiara 48\/b, 25122 Brescia, Italy, 1997."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB29","doi-asserted-by":"crossref","first-page":"673","DOI":"10.1287\/mnsc.44.5.673","article-title":"A minimax portfolio selection rule with linear programming solution","volume":"44","author":"Young","year":"1998","journal-title":"Management Science"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB30","unstructured":"Holland JH. Adaptation in natural and artificial systems: an introductory analysis with applications to biology, control, and artificial intelligence. Michigan: University of Michigan Press, 1975."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB31","doi-asserted-by":"crossref","unstructured":"B\u00e4ck T, Fogel DB, Michalewicz Z, editors. Handbook of evolutionary computation. Oxford: Oxford University Press, 1997.","DOI":"10.1887\/0750308958"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB32","doi-asserted-by":"crossref","unstructured":"Mitchell M. An introduction to genetic algorithms. Cambridge, MA: MIT Press, 1996.","DOI":"10.7551\/mitpress\/3927.001.0001"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB33","unstructured":"Reeves CR, editor. Modern heuristic techniques for combinatorial problems. Oxford: Blackwell Scientific Publications, 1993."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB34","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1287\/ijoc.9.3.231","article-title":"Genetic algorithms for the operations researcher","volume":"9","author":"Reeves","year":"1997","journal-title":"INFORMS Journal on Computing"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB35","first-page":"597","article-title":"A genetic approach to portfolio selection","volume":"6","author":"Arnone","year":"1993","journal-title":"Neural Network World"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB36","doi-asserted-by":"crossref","unstructured":"Loraschi A, Tettamanzi A, Tomassini M, Verda P. Distributed genetic algorithms with an application to portfolio selection problems. In: Pearson DW, Steele NC, Albrecht RF, editors. Artificial neural nets and genetic algorithms, 1995. p. 384\u201387.","DOI":"10.1007\/978-3-7091-7535-4_100"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB37","doi-asserted-by":"crossref","first-page":"392","DOI":"10.1016\/0377-2217(95)00159-X","article-title":"A genetic algorithm for the set covering problem","volume":"94","author":"Beasley","year":"1996","journal-title":"European Journal of Operational Research"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB38","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1023\/A:1009642405419","article-title":"A genetic algorithm for the multidimensional knapsack problem","volume":"4","author":"Chu","year":"1998","journal-title":"Journal of Heuristics"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB39","doi-asserted-by":"crossref","first-page":"533","DOI":"10.1016\/0305-0548(86)90048-1","article-title":"Future paths for integer programming and links to artificial intelligence","volume":"13","author":"Glover","year":"1986","journal-title":"Computers & Operations Research"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB40","unstructured":"Hansen P. The steepest ascent mildest descent heuristic for combinatorial programming. Presented at the Congress on Numerical Methods in Combinatorial Optimization, Capri, Italy, 1986."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB41","unstructured":"Aarts EHL, Lenstra JK, editors. Local search in combinatorial optimization. New York: Wiley, 1997."},{"key":"10.1016\/S0305-0548(99)00074-X_BIB42","doi-asserted-by":"crossref","unstructured":"Glover FW, Laguna M. Tabu search. Dordrecht: Kluwer Academic Publishers, 1997.","DOI":"10.1007\/978-1-4615-6089-0"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB43","doi-asserted-by":"crossref","unstructured":"Glover F, Mulvey JM, Hoyland K. Solving dynamic stochastic control problems in finance using tabu search with variable scaling. In: Osman IH, Kelly JP, editors. Meta-heuristics: theory & applications. Dordrecht: Kluwer Academic Publishers, 1996. p. 429\u201348.","DOI":"10.1007\/978-1-4613-1361-8_26"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB44","doi-asserted-by":"crossref","first-page":"1087","DOI":"10.1063\/1.1699114","article-title":"Equation of state calculations by fast computing machines","volume":"21","author":"Metropolis","year":"1953","journal-title":"Journal of Chemical Physics"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB45","doi-asserted-by":"crossref","first-page":"671","DOI":"10.1126\/science.220.4598.671","article-title":"Optimization by simulated annealing","volume":"220","author":"Kirkpatrick","year":"1983","journal-title":"Science"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB46","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1007\/BF00940812","article-title":"Thermodynamical approach to the travelling salesman problem","volume":"45","author":"Cerny","year":"1985","journal-title":"Journal of Optimization Theory and Applications"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB47","doi-asserted-by":"crossref","first-page":"1069","DOI":"10.2307\/2582903","article-title":"OR-Library","volume":"41","author":"Beasley","year":"1990","journal-title":"Journal of the Operational Research Society"},{"key":"10.1016\/S0305-0548(99)00074-X_BIB48","doi-asserted-by":"crossref","first-page":"429","DOI":"10.1007\/BF02404002","article-title":"Obtaining test problems via Internet","volume":"8","author":"Beasley","year":"1996","journal-title":"Journal of Global Optimization"}],"container-title":["Computers & Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S030505489900074X?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S030505489900074X?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2024,12,6]],"date-time":"2024-12-06T16:49:39Z","timestamp":1733503779000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S030505489900074X"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,11]]},"references-count":48,"journal-issue":{"issue":"13","published-print":{"date-parts":[[2000,11]]}},"alternative-id":["S030505489900074X"],"URL":"https:\/\/doi.org\/10.1016\/s0305-0548(99)00074-x","relation":{},"ISSN":["0305-0548"],"issn-type":[{"value":"0305-0548","type":"print"}],"subject":[],"published":{"date-parts":[[2000,11]]}}}