Simulated annealing for complex portfolio selection problems

Crama, Yves; Schyns, Michael

doi:10.1016/S0377-2217(02)00784-1

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Simulated annealing for complex portfolio selection problems

Crama, Yves; Schyns, Michael

2003 • In European Journal of Operational Research, 150 (3), p. 546-571

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https://hdl.handle.net/2268/1733

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10.1016/S0377-2217(02)00784-1

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Keywords :

finance; simulated annealing; metaheuristics; portfolio selection; quadratic programming

Abstract :

[en] 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. (C) 2003 Elsevier B.V. All rights reserved.

Disciplines :

Finance

Author, co-author :

Crama, Yves ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Recherche opérationnelle et gestion de la production

Schyns, Michael ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Informatique de gestion

Language :

English

Title :

Simulated annealing for complex portfolio selection problems

Publication date :

01 November 2003

Journal title :

European Journal of Operational Research

ISSN :

0377-2217

eISSN :

1872-6860

Publisher :

Elsevier Science Bv, Amsterdam, Netherlands

Volume :

150

Issue :

Pages :

546-571

Peer reviewed :

Peer Reviewed verified by ORBi

Commentary :

available online at www.sciencedirect.com

Available on ORBi :

since 02 December 2008

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Scopus citations^®

244

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244

OpenCitations

196

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