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Simulated annealing for complex portfolio selection problems

Crama, Y. ; Schyns, M.

European journal of operational research, 2003-11, Vol.150 (3), p.546-571 [Periódico revisado por pares]

Amsterdam: Elsevier B.V

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Título:
Simulated annealing for complex portfolio selection problems
Autor: Crama, Y. ; Schyns, M.
Assuntos: Algorithms ; Business & economic sciences ; Finance ; Heuristic ; Mathematical programming ; Metaheuristics ; Optimization ; Portfolio selection ; Quadratic programming ; Sciences économiques & de gestion ; Simulated annealing ; Simulation ; Studies ; Variance analysis
É parte de: European journal of operational research, 2003-11, Vol.150 (3), p.546-571
Notas: scopus-id:2-s2.0-1642358232
Descrição: This paper describes the application of a simulated annealing approach to the solution of a complex portfolio selection model. The model is a mixed integer quadratic programming problem which arises when Markowitz’ classical mean–variance model is enriched with additional realistic constraints. Exact optimization algorithms run into difficulties in this framework and this motivates the investigation of heuristic techniques. Computational experiments indicate that the approach is promising for this class of problems.
Editor: Amsterdam: Elsevier B.V
Idioma: Inglês

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