Hybrid metaheuristics for constrained portfolio selection problems
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Publication:4911224
DOI10.1080/14697680903460168zbMath1258.91207OpenAlexW2067200690MaRDI QIDQ4911224
Luca Di Gaspero, Andrea Roli, Giacomo di Tollo, Andrea Schaerf
Publication date: 14 March 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903460168
Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Portfolio theory (91G10)
Related Items (11)
Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms ⋮ A new method for mean-variance portfolio optimization with cardinality constraints ⋮ A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances ⋮ An iterative method for solving a bi-objective constrained portfolio optimization problem ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Kernel search: an application to the index tracking problem ⋮ Convex optimization techniques in compliant assembly simulation ⋮ Twenty years of linear programming based portfolio optimization ⋮ Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate ⋮ Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems ⋮ Linear vs. quadratic portfolio selection models with hard real-world constraints
Uses Software
Cites Work
- A numerically stable dual method for solving strictly convex quadratic programs
- Portfolio selection using neural networks
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Simulated annealing for complex portfolio selection problems.
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Heuristics for cardinality constrained portfolio optimization
- Local search techniques for constrained portfolio selection problems
- A novel hybrid model for portfolio selection
- LP solvable models for portfolio optimization: a classification and computational comparison
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