A survey on portfolio optimisation with metaheuristics.
dc.contributor.author | Skolpadungket, Prisadarng | * |
dc.contributor.author | Dahal, Keshav P. | * |
dc.date.accessioned | 2009-03-05T14:34:18Z | |
dc.date.available | 2009-03-05T14:34:18Z | |
dc.date.issued | 2006 | |
dc.identifier.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. | |
dc.identifier.uri | http://hdl.handle.net/10454/2456 | |
dc.description | Yes | |
dc.description.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. | |
dc.language.iso | en | en |
dc.rights | © 2006 University of Bradford. Reproduced in accordance with the publisher's self-archiving policy. | |
dc.subject | Metaheuristic | |
dc.subject | Portfolio optimisation | |
dc.subject | Investment management | |
dc.subject | Asset management | |
dc.title | A survey on portfolio optimisation with metaheuristics. | |
dc.status.refereed | Yes | |
dc.type | Conference paper | |
dc.type.version | Accepted manuscript | |
dc.rights.license | Unspecified | |
refterms.dateFOA | 2018-07-18T13:33:43Z | |
dc.openaccess.status | openAccess |