Related papers: A Metaheuristic Approach for IT Projects Portfolio…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices…
Feature-based offline algorithm selection has shown its effectiveness in a wide range of optimization problems, including the black-box optimization problem. An algorithm selection system selects the most promising optimizer from an…
This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…
The scenario-based optimization approach (`scenario approach') provides an intuitive way of approximating the solution to chance-constrained optimization programs, based on finding the optimal solution under a finite number of sampled…
Metaheuristic search algorithms look for solutions that either maximise or minimise a set of objectives, such as cost or performance. However most real-world optimisation problems consist of nonlinear problems with complex constraints and…
This paper presents an innovative online portfolio selection model, situated within a meta-learning framework, that leverages a mixture policies strategy. The core idea is to simulate a fund that employs multiple fund managers, each skilled…
This paper presents a mixed-integer linear programming formulation for the multi-mode resource-constrained project scheduling problem with uncertain activity durations. We consider a two-stage robust optimisation approach and find solutions…
The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer applies in such situations. Among these notorious nonseparable…
In the project portfolio management, the project selection phase presents the greatest interest. In this article, we focus on this important phase by proposing a new method of projects selection consisting of several steps. We propose as a…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
In this paper we propose a hybrid quantum-classical algorithm for dynamic portfolio optimization with minimal holding period. Our algorithm is based on sampling the near-optimal portfolios at each trading step using a quantum processor, and…
Optimizing decision problems under uncertainty can be done using a variety of solution methods. Soft computing and heuristic approaches tend to be powerful for solving such problems. In this overview article, we survey Evolutionary…
This paper presents two stochastic optimization approaches for simultaneous project scheduling and personnel planning, extending a deterministic model previously developed by Heimerl and Kolisch. For the problem of assigning work packages…
In the last few years, the formulation of real-world optimization problems and their efficient solution via metaheuristic algorithms has been a catalyst for a myriad of research studies. In spite of decades of historical advancements on the…
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such models are inadequate for real-world markets as they employ…
Materialized views can significantly improve database query performance but identifying the optimal set of views to materialize is challenging. Prior work on automating and optimizing materialized view selection has limitations in execution…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
In many situations, simulation models are developed to handle complex real-world business optimisation problems. For example, a discrete-event simulation model is used to simulate the trailer management process in a big Fast-Moving Consumer…
In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance…