A Population-Based Incremental Learning Method for Constrained Portfolio Optimisation

This paper investigates a hybrid algorithm which utilizes exact and heuristic methods to optimise asset selection and capital allocation in portfolio optimisation. The proposed method is composed of a customised population based incremental learning procedure and a mathematical programming applicati...

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Published in:2014 16th International Symposium on Symbolic and Numeric Algorithms for Scientific Computing pp. 212 - 219
Main Authors: Yan Jin, Rong Qu, Atkin, Jason
Format: Conference Proceeding
Language:English
Published: IEEE 01.09.2014
Subjects:
Heuristic algorithms
Mathematical model
Optimization
Portfolios
Sociology
Statistics
Vectors
ISBN:9781479984473, 1479984477
Online Access:Get full text
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Abstract This paper investigates a hybrid algorithm which utilizes exact and heuristic methods to optimise asset selection and capital allocation in portfolio optimisation. The proposed method is composed of a customised population based incremental learning procedure and a mathematical programming application. It is based on the standard Markowitz model with additional practical constraints such as cardinality on the number of assets and quantity of the allocated capital. Computational experiments have been conducted and analysis has demonstrated the performance and effectiveness of the proposed approach.
AbstractList This paper investigates a hybrid algorithm which utilizes exact and heuristic methods to optimise asset selection and capital allocation in portfolio optimisation. The proposed method is composed of a customised population based incremental learning procedure and a mathematical programming application. It is based on the standard Markowitz model with additional practical constraints such as cardinality on the number of assets and quantity of the allocated capital. Computational experiments have been conducted and analysis has demonstrated the performance and effectiveness of the proposed approach.
Author Atkin, Jason
Rong Qu
Yan Jin
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  email: jaa@cs.nott.ac.uk
  organization: ASAP Group, Univ. of Nottingham, Nottingham, UK
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Snippet This paper investigates a hybrid algorithm which utilizes exact and heuristic methods to optimise asset selection and capital allocation in portfolio...
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StartPage 212
SubjectTerms Heuristic algorithms
Mathematical model
Optimization
Portfolios
Sociology
Statistics
Vectors
Title A Population-Based Incremental Learning Method for Constrained Portfolio Optimisation
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