文章基本信息

标题：ASSET ALLOCATION AND PORTFOLIO OPTIMIZATION PROBLEMS WITH METAHEURISTICS: A LITERATURE SURVEY
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作者：Bilel JARRAYA
期刊名称：Business Excellence and Management
印刷版ISSN：2248-1354
出版年度：2013
卷号：3
期号：4
出版社：Academia de Studii Economice din Bucuresti
摘要：The main objective of Markowitz work is seeking optimal allocation of wealth on a defined number of assets while minimizing risk and maximizing returns of expected portfolio. At the beginning, proposed models in this issue are resolved basing on quadratic programming. Unfortunately, the real state of financial markets makes these problems too complex. Metaheuristics are stochastic methods which aim to solve a large panel of NPhard problems without intervention of users. These methods are inspired from analogies with other fields such as physics, genetics, or ethologic. Already various Metaheuristics approaches have been proposed to solve asset allocation and portfolio optimization problems. In a first time, we survey some approaches on the topic, by categorizing them, describing results and involved techniques. Second part of this paper aims providing a good guide to the application of Metaheuristics to portfolio optimization and asset allocation problems
关键词：Portfolio; Asset allocation; Metaheuristics; Mono-objective problems; Multi-objective problems