Robust portfolio optimization with a hybrid heuristic algorithm

DOI10.1007/s10287-010-0127-2zbMath1273.91420OpenAlexW1990349665MaRDI QIDQ373173

Björn Fastrich, Peter Winker

Publication date: 21 October 2013

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: http://comisef.eu/files/wps041.pdf

zbMATH Keywords

algorithmrobust optimizationuncertainty setshybrid heuristic

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Sensitivity, stability, parametric optimization (90C31) Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Recent advancements in robust optimization for investment management ⋮ Robust CCMV model with short selling and risk-neutral interest rate ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Portfolio optimization model with and without options under additional constraints ⋮ Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios ⋮ Cardinality versusq-norm constraints for index tracking

Uses Software

• robustbase
• bootstrap

Cites Work

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• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
• Application of Threshold-Accepting to the Evaluation of the Discrepancy of a Set of Points
• Robust Statistics
• Robust Portfolio Selection Problems

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