期刊
OR SPECTRUM
卷 25, 期 4, 页码 481-495出版社
SPRINGER
DOI: 10.1007/s00291-003-0139-1
关键词
portfolio optimization; local search; simulated annealing; evolutionary strategies; methaheuristic
One of the main advantages of portfolios over single assets is that risk can be diversified without necessarily reducing the expected return - provided 'proper' assets are selected and they are assigned the 'proper' weights. Since in practice investors tend to restrict themselves to a rather small number of different assets, the decision which securities to include is a crucial one that turns out to be NP-hard. In this paper we suggest a hybrid local search algorithm which combines principles of Simulated Annealing and evolutionary strategies and which proved to highly efficiently approach this problem.
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