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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Bibliographic Details
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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