A numerical evaluation of meta-heuristic techniques in portfolio optimisation

DOI10.1007/S12351-008-0028-0MaRDI QIDQ839988zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 4 September 2009

Published in Operational Research. An International Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12351-008-0028-0

zbMATH Keywords

heuristicsportfolio managementefficient frontierpower and quadratic utility

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Recommendations

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• Heuristic optimisation in financial modelling
• An MCDM approach to portfolio optimization.

Cites work

• A preference foundation for log mean-variance criteria in portfolio choice problems
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Estimation of Relationships for Limited Dependent Variables
• Exposition of a New Theory on the Measurement of Risk
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Global optimization of higher order moments in portfolio selection
• Multicriteria optimization using a genetic algorithm for determining a Pareto set
• Optimum consumption and portfolio rules in a continuous-time model
• Risk Aversion in the Small and in the Large
• Tackling real-coded genetic algorithms: operators and tools for behavioural analysis
• The Efficiency Analysis of Choices Involving Risk
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

Cited in

(5)

• Fuzzy turnover rate chance constraints portfolio model
• Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
• Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies
• Benchmarking the performance of portfolio optimization with QAOA
• Portfolio management with heuristic optimization.

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