A Local Search Approach to Solve a Financial Portfolio Design Problem
@article{Lebbah2015ALS, title={A Local Search Approach to Solve a Financial Portfolio Design Problem}, author={Fatima Zohra Lebbah and Yahia Lebbah}, journal={Int. J. Appl. Metaheuristic Comput.}, year={2015}, volume={6}, pages={1-17} }
This paper introduces a local search optimization technique for solving efficiently a financial portfolio design problem which consists to affect assets to portfolios, allowing a compromise between maximizing gains and minimizing losses. This practical problem appears usually in financial engineering, such as in the design of CDO-squared portfolios. This problem has been modeled by Flener et al. who proposed an exact method to solve it. It can be formulated as a quadratic program on the 0-1…
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