Hybrid Metaheuristics for Constrained Portfolio Selection Problems

  title={Hybrid Metaheuristics for Constrained Portfolio Selection Problems},
  author={Luca Di Gaspero and Andrea Schaerf},
Portfolio selection is a relevant problem arising in finance and economics. While its basic formulations can be efficiently solved through linear or quadratic programming, its more practical and realistic variants, which include various kinds of constraints and objectives, have in many cases to be tackled by heuristics. In this work, we present a hybrid technique that combines a local search metaheuristic, as master solver, with a quadratic programming procedure, as slave solver. Experimental… CONTINUE READING
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