Metaheuristic Approach to Solve Portfolio Selection Problem

Taylan Kabbani

Papers from arXiv.org

Abstract: In this paper, a heuristic method based on TabuSearch and TokenRing Search is being used in order to solve the Portfolio Optimization Problem. The seminal mean-variance model of Markowitz is being considered with the addition of cardinality and quantity constraints to better capture the dynamics of the trading procedure, the model becomes an NP-hard problem that can not be solved using an exact method. The combination of three different neighborhood relations is being explored with Tabu Search. In addition, a new constructive method for the initial solution is proposed. Finally, I show how the proposed techniques perform on public benchmarks

Date: 2022-11
New Economics Papers: this item is included in nep-cmp
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2211.17193

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