A novel hybrid PSO-based metaheuristic for costly portfolio selection problems

DOI10.1007/s10479-021-04075-3zbMath1480.90200OpenAlexW3154623308MaRDI QIDQ2241553

Giovanni Fasano, Giacomo di Tollo, Raffaele Pesenti, Marco Corazza

Publication date: 9 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04075-3

zbMATH Keywords

iraceglobal optimizationexact penalty functionsparticle swarm optimizationhybrid metaheuristicsportfolio selection problemsREVAC

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (2)

Adaptive evolutionary algorithms for portfolio selection problems ⋮ A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures

Uses Software

• Paramils
• SPOT
• irace
• Spearmint
• Hyperopt
• Auto-WEKA
• SMAC

Cites Work

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