Portfolio management with heuristic optimization.

DOI10.1007/B136219zbMATH Open1142.91005OpenAlexW4206279507MaRDI QIDQ852294FDOQ852294

Authors: Dietmar G. Maringer 

Publication date: 28 November 2006

Published in: Advances in Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b136219

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zbMATH Keywords

portfolio managementheuristic optimization

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (32)

• The convergence of estimators based on heuristics: theory and application to a GARCH model
• Reliability in portfolio optimization using uncertain estimates
• A numerical evaluation of meta-heuristic techniques in portfolio optimisation
• An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
• Multiple crack detection in 3D using a stable XFEM and global optimization
• Local search techniques for constrained portfolio selection problems
• The convergence of optimization based GARCH estimators: theory and application
• Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
• Heuristic optimisation in financial modelling
• Convergence of heuristic-based estimators of the GARCH model
• A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
• Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
• Global optimization of higher order moments in portfolio selection
• Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
• An MCDM approach to portfolio optimization.
• A robust heuristic for the optimal selection of a portfolio of stocks
• Portfolio optimization. With CD-ROM.
• ACTIVE PORTFOLIO MANAGEMENT WITH CARDINALITY CONSTRAINTS: AN APPLICATION OF PARTICLE SWARM OPTIMIZATION
• Distributed optimisation of a portfolio's omega
• Bi-objective reliability based optimization: an application to investment analysis
• Heuristics for cardinality constrained portfolio optimization
• Optimal portfolio selection for the small investor considering risk and transaction costs
• Rejoinder on: Multicriteria decision systems for financial problems
• Evolutionary computation for modelling and optimization in finance
• Robust portfolio optimization with a hybrid heuristic algorithm
• Title not available (Why is that?)
• Cardinality versus \(q\)-norm constraints for index tracking
• A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
• Particle swarm optimization approach to portfolio optimization
• Dynamic portfolio management under competing representations
• Cross-Hill: a heuristic method for global optimization
• The Markowitz's mean-variance interpretation under the efficient market hypothesis in the context of critical recession periods

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