A robust heuristic for the optimal selection of a portfolio of stocks
type: Item
instance of: scholarly article
title: A robust heuristic for the optimal selection of a portfolio of stocks
zbMATH Open document ID: 1198.91196
DOI: 10.1504/IJOR.2010.035520
published in: International Journal of Operational Research
publication date: 2010-11-17T00:00:00Z
review text: Summary: This paper introduces a new optimization heuristic for the robustification of critical inputs under consideration in many problems. It is shown that it allows to improve significantly the quality and the stability of the results for two classical financial problems, that is, the Markowitz portfolio selection problem and the computation of the financial beta. Focus here is on the robust minimum covariance determinant (MCD) estimator which can easily be substituted to the classical estimators of location and scatter. By definition, the computation of this estimator gives rise to a combinatorial optimization problem. We present a new heuristic, called RelaxMCD, which is based on a relaxation of the problem to the continuous space. The utility of this approach and the performance of our heuristic, with respect to other competitors, are illustrated through extensive simulations.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C27
Mathematics Subject Classification ID: 90C59
zbMATH DE Number: 5816966
zbMATH Keywords: combinatorial optimization
zbMATH Keywords: robustness
zbMATH Keywords: Markowitz model
zbMATH Keywords: beta computation
zbMATH Keywords: MCD estimator
zbMATH Keywords: minimum covariance determinant
zbMATH Keywords: stocks
zbMATH Keywords: stock portfolios
zbMATH Keywords: optimization heuristics
zbMATH Keywords: operational research
author: Michaël Schyns
describes a project that uses: robustbase
MaRDI profile type: Publication
full work available at URL: ijor.2010.035520
OpenAlex ID: W2051671136
description: scientific article; zbMATH DE number 5816966