The IRMA Community
Newsletters
Research IRM
Click a keyword to search titles using our InfoSci-OnDemand powered search:
|
Portfolio Optimization and Asset Allocation With Metaheuristics: A Review
Abstract
Portfolio optimization stands to be an issue of finding an optimal allocation of wealth to place within the obtainable assets. Markowitz stated the problem to be structured as dual-objective mean-risk optimization, pointing the best trade-off solutions within a portfolio between risks which is measured by variance and mean. Thus the major intention was nothing else than hunting for optimum distribution of wealth over a specific amount of assets by diminishing risk and maximizing returns of a portfolio. Value-at-risk, expected shortfall, and semi-variance measures prove to be complex for measuring risk, for maximization of skewness, liquidity, dividends by added objective functions, cardinality constraints, quantity constraints, minimum transaction lots, class constraints in real-world constraints all of which are incorporated in modern portfolio selection models, furnish numerous optimization challenges. The emerging portfolio optimization issue turns out to be extremely tough to be handled with exact approaches because it exhibits nonlinearities, discontinuities and high-dimensional, efficient boundaries. Because of these attributes, a number of researchers got motivated in researching the usage of metaheuristics, which stand to be effective measures for finding near optimal solutions for tough optimization issues in an adequate computational time frame. This review report serves as a short note on portfolio optimization field with the usage of Metaheuristics and finally states that how multi-objective metaheuristics prove to be efficient in dealing with portfolio selection problems with complex measures of risk defining non-convex, non-differential objective functions.
Related Content
Shailendra Aote, Mukesh M. Raghuwanshi.
© 2021.
34 pages.
|
Anjana Mishra, Bighnaraj Naik, Suresh Kumar Srichandan.
© 2021.
15 pages.
|
Thendral Puyalnithi, Madhuviswanatham Vankadara.
© 2021.
15 pages.
|
Geng Zhang, Xiansheng Gong, Xirui Chen.
© 2021.
13 pages.
|
Jhuma Ray, Siddhartha Bhattacharyya, N. Bhupendro Singh.
© 2021.
19 pages.
|
Pijush Samui, Viswanathan R., Jagan J., Pradeep U. Kurup.
© 2021.
18 pages.
|
Ravinesh C. Deo, Sujan Ghimire, Nathan J. Downs, Nawin Raj.
© 2021.
32 pages.
|
|
|