Hybrid metaheuristics for constrained portfolio selection problems

DOI10.1080/14697680903460168MaRDI QIDQ4911224zbMATH OpenOpenAlexFDO

Authors Luca Di Gaspero, Giacomo di Tollo, Andrea Roli, 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

zbMATH Keywords

hybrid methodslocal searchportfolio optimizationquadratic programming

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A novel hybrid model for portfolio selection
• A numerically stable dual method for solving strictly convex quadratic programs
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Heuristics for cardinality constrained portfolio optimization
• Local search techniques for constrained portfolio selection problems
• LP solvable models for portfolio optimization: a classification and computational comparison
• Optimization of cardinality constrained portfolios with a hybrid local search algorithm
• Portfolio selection using neural networks
• Simulated annealing for complex portfolio selection problems.

Cited in

(18)

• Optimization of cardinality constrained portfolios with a hybrid local search algorithm
• Local search techniques for constrained portfolio selection problems
• Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
• Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
• Convex optimization techniques in compliant assembly simulation
• A novel hybrid PSO-based metaheuristic for costly portfolio selection problems
• Linear vs. quadratic portfolio selection models with hard real-world constraints
• A new method for mean-variance portfolio optimization with cardinality constraints
• An iterative method for solving a bi-objective constrained portfolio optimization problem
• Twenty years of linear programming based portfolio optimization
• A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
• Metaheuristics for the portfolio selection problem
• Hybrid Local Search for Constrained Financial Portfolio Selection Problems
• Kernel search: an application to the index tracking problem
• Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms
• Mixed Tabu machine for portfolio optimization problem
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• A numerical evaluation of meta-heuristic techniques in portfolio optimisation

Describes a project that uses

Uses Software

• AMPL
• CPLEX
• EasyLocal++

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