Hybrid metaheuristics for constrained portfolio selection problems

DOI10.1080/14697680903460168zbMath1258.91207OpenAlexW2067200690MaRDI QIDQ4911224

Luca Di Gaspero, Andrea Roli, Giacomo di Tollo, Andrea Schaerf

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903460168

zbMATH Keywords

quadratic programminglocal searchportfolio optimizationhybrid methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (11)

Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms ⋮ A new method for mean-variance portfolio optimization with cardinality constraints ⋮ A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances ⋮ An iterative method for solving a bi-objective constrained portfolio optimization problem ⋮ Complex portfolio selection via convex mixed‐integer quadratic programming: a survey ⋮ Kernel search: an application to the index tracking problem ⋮ Convex optimization techniques in compliant assembly simulation ⋮ Twenty years of linear programming based portfolio optimization ⋮ Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate ⋮ Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems ⋮ Linear vs. quadratic portfolio selection models with hard real-world constraints

Uses Software

• AMPL
• CPLEX
• EasyLocal++

Cites Work

• A numerically stable dual method for solving strictly convex quadratic programs
• Portfolio selection using neural networks
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Simulated annealing for complex portfolio selection problems.
• Optimization of cardinality constrained portfolios with a hybrid local search algorithm
• Heuristics for cardinality constrained portfolio optimization
• Local search techniques for constrained portfolio selection problems
• A novel hybrid model for portfolio selection
• LP solvable models for portfolio optimization: a classification and computational comparison

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