Related papers: Local Search Techniques for Constrained Portfolio …
In this paper, we introduce EvoPort, a novel evolutionary portfolio optimization method that leverages stochastic exploration over a spectrum of investment pipeline depths. From raw equity data, we employ a randomized feature generation…
This paper presents an Iterated Tabu Search algorithm (denoted by ITS-PUCC) for solving the problem of Packing Unequal Circles in a Circle. The algorithm exploits the continuous and combinatorial nature of the unequal circles packing…
In evolutionary multi-objective optimization, the indicator-based subset selection problem involves finding a subset of points that maximizes a given quality indicator. Local search is an effective approach for obtaining a high-quality…
This paper presents an implementation of the Imperialist Competitive Algorithm (ICA) for solving the fuzzy random portfolio selection problem where the asset returns are represented by fuzzy random variables. Portfolio Optimization is an…
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution…
We consider the neighborhood tree induced by alternating the use of different neighborhood structures within a local search descent. We investigate the issue of designing a search strategy operating at the neighborhood tree level by…
We consider how to optimally allocate investments in a portfolio of competing technologies using the standard mean-variance framework of portfolio theory. We assume that technologies follow the empirically observed relationship known as…
The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a…
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…
We present an end-to-end pipeline for large-scale portfolio selection with cardinality constraints and experimentally demonstrate it on trapped-ion quantum processors using hardware-aware decomposition. Building on RMT-based…
In recent years, the evaluation of the minimal investment risk of the quenched disordered system of a portfolio optimization problem and the investment concentration of the optimal portfolio has been actively investigated using the analysis…
The article presents an approach to interactively solve multi-objective optimization problems. While the identification of efficient solutions is supported by computational intelligence techniques on the basis of local search, the search is…
Traditional Markowitz portfolio optimization constrains daily portfolio variance to a target value, optimising returns, Sharpe or variance within this constraint. However, this approach overlooks the relationship between variance at…
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…
Local search algorithms use the neighborhood relations among search states and often perform well for a variety of NP-hard combinatorial search problems. This paper shows how quantum computers can also use these neighborhood relations. An…
In this paper, we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds upon neural network based trading schemes, in which the asset allocation at each time point is determined by…
In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-world scenarios. These uncertainties significantly influence portfolio outcomes in both classical and multi-objective Markowitz models. To…
The paper presents a study of local search heuristics in general and variable neighborhood search in particular for the resolution of an assignment problem studied in the practical work of universities. Here, students have to be assigned to…
We introduce a novel approach to portfolio optimization that leverages hierarchical graph structures and the Schur complement method to systematically reduce computational complexity while preserving full covariance information. Inspired by…
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…