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dc.contributor.authorSkolpadungket, Prisadarng*
dc.contributor.authorDahal, Keshav P.*
dc.date.accessioned2009-03-05T14:34:18Z
dc.date.available2009-03-05T14:34:18Z
dc.date.issued2006
dc.identifier.citationSkolpadungket, 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.en
dc.identifier.urihttp://hdl.handle.net/10454/2456
dc.description.abstractA 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.en
dc.language.isoenen
dc.rights© 2006 University of Bradford. Reproduced in accordance with the publisher's self-archiving policy.en
dc.subjectMetaheuristicen
dc.subjectPortfolio optimisationen
dc.subjectInvestment managementen
dc.subjectAsset managementen
dc.titleA survey on portfolio optimisation with metaheuristics.en
dc.status.refereedYesen
dc.typeConference paperen
dc.type.versionAccepted Manuscripten
refterms.dateFOA2018-07-18T13:33:43Z


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