A Heuristic Approach to Portfolio Optimization

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

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Year of publication:	2000-10-01
Authors:	Kellezi, Evis ; Gilli, Manfred
Subject:	Portfolio Selection \| Risikomaß \| Heuristik \| Heuristic Optimization

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Table of Contents
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1. Introduction
2. Approaches to the portfolio choice problem
3. The threshold acctepting optimizing heuristic
4. Application
5. Concluding remarks