A Biased-Randomized Iterated Local Search Algorithm for Rich Portfolio Optimization

A Biased-Randomized Iterated Local Search Algorithm for Rich Portfolio Optimization

This research develops an original algorithm for rich portfolio optimization (ARPO), considering more realistic constraints than those usually analyzed in the literature. Using a matheuristic framework that combines an iterated local search metaheuristic with quadratic programming, ARPO efficiently...

Full description

Bibliographic Details
Main Authors: Renatas Kizys, Angel A. Juan, Bartosz Sawik, Laura Calvet
Format: Article
Language:English
Published: MDPI AG 2019-08-01
Series:Applied Sciences
Subjects:
constrained portfolio optimization
metaheuristics
efficiency indices
financial assets
iterated local search
biased randomization
Online Access:https://www.mdpi.com/2076-3417/9/17/3509

Internet

https://www.mdpi.com/2076-3417/9/17/3509

Similar Items