A portfolio optimisation problem involves allocation
of investment to a number of different assets to maximize return
and minimize risk in a given investment period. The selected
assets in a portfolio not only collectively contribute to its return
but also interactively define its risk as usually measured by a
portfolio variance. This presents a combinatorial optimisation
problem that involves selection of both a number of assets as well
as its quantity (weight or proportion or units). The problem is
extremely complex due to a large number of selectable assets.
Furthermore, the problem is dynamic and stochastic in nature
with a number of constraints presenting a complex model which is
difficult to solve for exact solution. In the last decade research
publications have reported the applications of
metaheuristic-based optimisation methods with some success.,
This paper presents a review of these reported models,
optimisation problem formulations and metaheuristic approaches
for portfolio optimisation.
| Identifer | oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/2456 |
| Date | January 2006 |
| Creators | Skolpadungket, Prisadarng, Dahal, Keshav P. |
| Source Sets | Bradford Scholars |
| Language | English |
| Detected Language | English |
| Type | Conference paper, Accepted Manuscript |
| Rights | © 2006 University of Bradford. Reproduced in accordance with the publisher's self-archiving policy. |
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