A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances

DOI10.1016/j.cor.2021.105631OpenAlexW3216033070WikidataQ116750090 ScholiaQ116750090MaRDI QIDQ2669799

Jana Doering, Onur Polat, Angel A. Juan, Laura Calvet, Renatas Kizys, Javier Panadero

Publication date: 9 March 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2021.105631

zbMATH Keywords

simulationmetaheuristicsvariable neighborhood searchfinancial assetsconstrained portfolio optimizationbiased randomization

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (2)

Adaptive evolutionary algorithms for portfolio selection problems ⋮ Variable neighborhood search: the power of change and simplicity

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