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… 
Application and Comparative Study of Optimization Algorithms in Financial Investment Portfolio Problems
Portfolio theory mainly studies how to optimize the allocation of assets under the premise of maximizing expected returns and minimizing investment risks. In view of the instability of the financial
Global Results Synthesis
  • Business
    Algorithms for Solving Financial Portfolio Design Problems
  • 2020
This chapter provides a global synthesis of the realized results by applying exact and approximate approaches on the portfolio design (PD) problem. The authors introduce an experimental analysis of
A Modified Ant Colony Algorithm to the P| Prec| Cmax Scheduling Problem: A Comparative Study
TLDR
A comparative study which addresses the P/prec/Cmax scheduling problem, a notable NP-hard benchmark and MLP_SACS, a modified ant colony algorithm, is used to solve it, is investigated, and the solutions obtained are shown to be the best.

References

SHOWING 1-3 OF 3 REFERENCES
Design of Financial CDO Squared Transactions Using Constraint Programming
We give an approximate and often extremely fast method of building a particular kind of portfolio in finance, here called a portfolio design (PD), with applications in the credit derivatives market,
Algorithm portfolios
A Rigorous Global Filtering Algorithm for Quadratic Constraints*
TLDR
A global filtering algorithm that works on a tight linear relaxation of the quadratic constraints and yields a much more effective pruning of the domains than local consistency filtering algorithms.