Jingjing Lu, Merrill Liechty. An empirical comparison between nonlinear programming optimization and simulated annealing (SA) algorithm under a higher moments Bayesian portfolio selection framework. In Shane G. Henderson, Bahar Biller, Ming-Hua Hsieh, John Shortle, Jeffrey D. Tew, Russell R. Barton, editors, Proceedings of the Winter Simulation Conference, WSC 2007, Washington, DC, USA, December 9-12, 2007. pages 1021-1027, WSC, 2007. [doi]
Abstract is missing.