VNS approach for solving a financial portfolio design problem

DOI10.1016/j.endm.2014.11.017zbMath1362.91035OpenAlexW1972561395MaRDI QIDQ2631242

Yahia Lebbah, Fatima Zohra Lebbah

Publication date: 29 July 2016

Full work available at URL: https://doi.org/10.1016/j.endm.2014.11.017

zbMATH Keywords

simulated annealingtabu searchvariable neighborhood searchfinancial portfolio designIDWalk

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Variable neighborhood search
• Design of financial CDO squared transactions using constraint programming
• PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
• Principles and Practice of Constraint Programming – CP 2004

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