A numerical evaluation of meta-heuristic techniques in portfolio optimisation

DOI10.1007/S12351-008-0028-0zbMATH Open1175.90228OpenAlexW2136385772MaRDI QIDQ839988FDOQ839988

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

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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)

Cites Work

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

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.

Uses Software

• Boids

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