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A survey on portfolio optimisation with metaheuristics.
Skolpadungket, Prisadarng Dahal, Keshav P.
Skolpadungket, Prisadarng
Dahal, Keshav P.
Publication Date
2006
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© 2006 University of Bradford. Reproduced in accordance with the publisher's self-archiving policy.
Peer-Reviewed
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openAccess
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Abstract
A portfolio optimisation problem involves allocation
of investment to a number of different assets to maximize return
and minimize risk in a given investment period. The selected
assets in a portfolio not only collectively contribute to its return
but also interactively define its risk as usually measured by a
portfolio variance. This presents a combinatorial optimisation
problem that involves selection of both a number of assets as well
as its quantity (weight or proportion or units). The problem is
extremely complex due to a large number of selectable assets.
Furthermore, the problem is dynamic and stochastic in nature
with a number of constraints presenting a complex model which is
difficult to solve for exact solution. In the last decade research
publications have reported the applications of
metaheuristic-based optimisation methods with some success.,
This paper presents a review of these reported models,
optimisation problem formulations and metaheuristic approaches
for portfolio optimisation.
Version
Accepted manuscript
Citation
Skolpadungket, P. and Dahal, K. P. (2006) A survey on portfolio
optimisation with metaheuristics. In: International Conference on Software
Knowledge Information Management and Applications (SKIMA 2006) Chiang Mai, Thailand. Bradford: University of Bradford, School of Informatics.
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Type
Conference paper