Hybrid local search for constrained financial portfolio selection problems

Di Gaspero, L.;di Tollo, G.;Roli, A.;Schaerf, A.
(2007) Integration of AI and OR Techniques in Constraint Programming for Combinatorial Optimization Problems. 4th International Conference, CPAIOR 2007 — Location: Brussels, Belgium (23.May.2007)

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  • Di Gaspero, L.
    Author
  • di Tollo, G.
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  • Roli, A.
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  • Schaerf, A.
    Author
Abstract
Portfolio selection is a relevant problem arising in finance and economics. While its basic formulations can be efficiently solved through linear or quadratic programming, its more practical and realistic variants, which include various kinds of constraints and objectives, have in many cases to be tackled by approximate algorithms. In this work, we present a hybrid technique that combines a local search, as /i master/ solver, with a quadratic programming procedure, as /i slave/ solver. Experimental results show that the approach is very promising and achieves results comparable with, or superior to, the state of the art solvers.
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Di Gaspero, L., di Tollo, G., Roli, A., & Schaerf, A. (2007). Hybrid local search for constrained financial portfolio selection problems. In Van Hentenryck, P.; Wolsey, L.; (ed.), Integration of AI and OR Techniques in Constraint Programming forCombinatorial Optimization Problems. Proceedings 4th InternationalConference, CPAIOR 2007 (p. p. 44-58). Springer-verlag. https://hdl.handle.net/2078.5/228761