Reference : Simulated annealing for complex portfolio selection problems
Scientific journals : Article
Business & economic sciences : Finance
Simulated annealing for complex portfolio selection problems
Crama, Yves mailto [Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Recherche opérationnelle et gestion de la production >]
Schyns, Michael mailto [Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Informatique de gestion >]
European Journal of Operational Research
Elsevier Science Bv
Yes (verified by ORBi)
[en] finance ; simulated annealing ; metaheuristics ; portfolio selection ; quadratic programming
[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.
Researchers ; Professionals
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