Polish Information Processing Society (PIPS) - Hybrid metaheuristic for Portfolio Selection: Comparison with an exact solver and search space analysis

2015 Federated Conference on Computer Science and Information Systems (FedCSIS)

Author(s): Giacomo di Tollo
Publisher: Polish Information Processing Society (PIPS)
Publication Date: 1 September 2015
Conference Location: Lodz, Poland
Conference Date: 13 September 2015
Page(s): 579 - 588
ISBN (Electronic): 978-8-3608-1065-1
ISBN (USB): 978-8-3608-1067-5
DOI: 10.15439/2015F7

In this paper we use a metaheuristic approach to solve the Portfolio Selection problem, in a constrained formulation which is NP-hard and difficult to be solved by standard optimization methods.... View More