Hybrid Metaheuristic for Portfolio Selection: Comparison with an exact solver and search space analysis
Giacomo di Tollo
Citation: Proceedings of the 2015 Federated Conference on Computer Science and Information Systems, M. Ganzha, L. Maciaszek, M. Paprzycki (eds). ACSIS, Vol. 5, pages 579–588 (2015)
Abstract. Portfolio Selection is one of the most studied topics in economics and finance. By adding real-world constraints to the basic formulation, the resulting optimization problem becomes NP-hard and hard to solve by exact methods even for small sized instances. In this paper we use a meta/heuristic approach to solve the problem, comparing its performances with an exact solver and showing that different mathematical formulations lead to different behaviour of the algorithm used to solve the problem.