Metaheuristics for the portfolio selection problem

MaRDI QIDQ3598874zbMATH OpenFDO

Authors Giacomo di Tollo, Andrea Roli

Publication date 3 February 2009

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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Cited in

(17)

• Adaptive evolutionary algorithms for portfolio selection problems
• Consensus reaching process for portfolio selection: a behavioral approach
• Mixed Tabu machine for portfolio optimization problem
• Hybrid metaheuristics for constrained portfolio selection problems
• Kernel search: an application to the index tracking problem
• A differential evolution algorithm for yield curve estimation
• Pareto ant colony optimization: a metaheuristic approach to multiobjective portfolio selection
• A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
• A novel hybrid PSO-based metaheuristic for costly portfolio selection problems
• Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints
• Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
• scientific article; zbMATH DE number 2159113 (Why is no real title available?)
• Hybrid Local Search for Constrained Financial Portfolio Selection Problems
• A PROMETHEE-based approach to portfolio selection problems
• Heuristic algorithms for the cardinality constrained efficient frontier
• Simulated annealing for complex portfolio selection problems.
• Twenty years of linear programming based portfolio optimization

Describes a project that uses

Uses Software

• OR-Library
• EasyLocal++
• COMET

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