Metaheuristic Approach to Solve Portfolio Selection Problem
Portfolio Management
2022-12-01 v1 Artificial Intelligence
Neural and Evolutionary Computing
Abstract
In this paper, a heuristic method based on TabuSearch and TokenRing Search is being used in order to solve the Portfolio Optimization Problem. The seminal mean-variance model of Markowitz is being considered with the addition of cardinality and quantity constraints to better capture the dynamics of the trading procedure, the model becomes an NP-hard problem that can not be solved using an exact method. The combination of three different neighborhood relations is being explored with Tabu Search. In addition, a new constructive method for the initial solution is proposed. Finally, I show how the proposed techniques perform on public benchmarks
Keywords
Cite
@article{arxiv.2211.17193,
title = {Metaheuristic Approach to Solve Portfolio Selection Problem},
author = {Taylan Kabbani},
journal= {arXiv preprint arXiv:2211.17193},
year = {2022}
}