Simulated annealing for complex portfolio selection problems

被引：218

作者：

Crama, Y

Schyns, M

机构：

[1] Univ Namur, Dept Business Adm, B-5000 Namur, Belgium

[2] Univ Liege, Sch Business Adm, B-4000 Liege, Belgium

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2003年 / 150卷 / 03期

基金：

美国国家科学基金会;

关键词：

finance; simulated annealing; metaheuristics; portfolio selection; quadratic programming;

D O I：

10.1016/S0377-2217(02)00784-1

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper describes the application of a simulated annealing approach to the solution of a complex portfolio selection model. The model is a mixed integer quadratic programming problem which arises when Markowitz' classical mean-variance model is enriched with additional realistic constraints. Exact optimization algorithms run into difficulties in this framework and this motivates the investigation of heuristic techniques. Computational experiments indicate that the approach is promising for this class of problems. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：546 / 571

页数：26

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