Solving realistic portfolio optimization problems via metaheuristics: a survey and an example

Jana Doering, Angel A. Juan, Renatas Kizys, Angels Fito, Laura Calvet

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

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    Abstract

    Computational finance has become one of the emerging application fields of metaheuristic algorithms. In particular, these optimization methods are quickly becoming the solving approach alternative when dealing with realistic versions of financial problems, such as the popular portfolio optimization problem (POP). This paper reviews the scientific literature on the use of metaheuristics for solving rich versions of the POP and illustrates, with a numerical example, the capacity of these methods to provide high-quality solutions to complex POPs in short computing times, which might be a desirable property of solving methods that support real-time decision making.
    Original languageEnglish
    Title of host publicationModeling and Simulation in Engineering, Economics and Management
    Subtitle of host publicationInternational Conference, MS 2016, Teruel, Spain, July 4-5, 2016, Proceedings
    PublisherSpringer International Publishing
    Pages22-30
    Volume254
    ISBN (Electronic)978-3-319-40506-3
    ISBN (Print)978-3-319-40505-6
    DOIs
    Publication statusPublished - 26 Jun 2016
    EventInternational Conference on Modeling and Simulation in Engineering, Economics and Management: MS 2016 - Teruel, Spain
    Duration: 4 Jul 20165 Jul 2016
    http://amsemodelling.com/conferences/teruel2016.html

    Publication series

    NameLecture Notes in Business Information Processing
    Volume254
    ISSN (Print)1865-1348

    Conference

    ConferenceInternational Conference on Modeling and Simulation in Engineering, Economics and Management
    Country/TerritorySpain
    CityTeruel
    Period4/07/165/07/16
    Internet address

    Keywords

    • Portfolio optimization
    • SimILS
    • Metaheuristics
    • Simulation

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