A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances
Renatas Kizys, Jana Doering, Angel A. Juan, Onur Polat, Laura Calvet, Javier Panadero
| Year of publication: |
2022
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|---|---|
| Authors: | Kizys, Renatas ; Doering, Jana ; Juan, Angel A. ; Polat, Onur ; Calvet, Laura ; Panadero, Javier |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 139.2022, p. 1-13
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| Subject: | Constrained portfolio optimization | Metaheuristics | Simulation | Financial assets | Variable neighborhood search | Biased randomization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Kapitaleinkommen | Capital income | Algorithmus | Algorithm | Stochastischer Prozess | Stochastic process | Heuristik | Heuristics | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2021.105631 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013342721