Article ID: | iaor20042470 |
Country: | Netherlands |
Volume: | 124 |
Issue: | 1 |
Start Page Number: | 245 |
End Page Number: | 265 |
Publication Date: | Nov 2003 |
Journal: | Annals of Operations Research |
Authors: | Speranza Maria Grazia, Mansini Renata, Chiodi Luca |
Keywords: | portfolio management |
Investors consider mutual funds as an interesting investment opportunity. This is the result of the impressive growth shown by these financial products in recent times. In this paper we propose a mixed integer linear programming model dealing with the portfolio selection problem on mutual funds in a single period investment strategy. We propose some heuristics and compare their performance. According to the results obtained on real instances, heuristics have proved to be effective and efficient.