Can I read Time-limited Metaheuristics for Cardinality-constrained Portfolio Optimisation on EtoBox?

Time-limited Metaheuristics for Cardinality-constrained Portfolio Optimisation by Nikiporenko, Alexander is a scholarly article available to read on EtoBox.

What is Time-limited Metaheuristics for Cardinality-constrained Portfolio Optimisation about?

A financial portfolio contains assets that offer a return with a certain level of risk. To maximise returns or minimise risk, the portfolio must be optimised - the ideal combination of optimal quantities of assets must be found. The number of possible combinations is vast. Furthermore, to make the problem realistic, constraints can be imposed on the number of assets held in the portfolio and the maximum proportion of the portfolio that can be allocated to an asset. This problem is unsolvable using quadratic programming, which means that the optimal solution cannot be calculated. A group of algorithms, called metaheuristics, can find near-optimal solutions in a practical computing time. These algorithms have been successfully used in constrained portfolio optimisation. However, in past studies the computation time of metaheuristics is not limited, which means that the results differ in both quality and computation time, and cannot be easily compared. This study proposes a different way of testing metaheuristics, limiting their computation time to a certain duration, yielding results that differ only in quality. Given that in some use cases the priority is the quality of the solution

Author

Nikiporenko, Alexander

Published

2023

Language

EN