A hybrid level-based learning swarm algorithm with mutation operator for solving large-scale cardinality-constrained portfolio optimization problems

DOI10.1016/j.ins.2023.03.115arXiv2206.14760OpenAlexW4294215398MaRDI QIDQ6127878

Gabriele Sbaiz, Giorgio Valentinuz, Massimiliano Kaucic, Filippo Piccotto

Publication date: 14 April 2024

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.14760

zbMATH Keywords

hybrid constraint-handling techniquelarge-scale portfolio optimizationlevel-based learning swarm optimizer (LLSO)modified Sharpe ratio

Mathematics Subject Classification ID

Computer science (68-XX) Operations research, mathematical programming (90-XX)

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