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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Summary: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.
ISBN:9781479984473
1479984477
DOI:10.1109/SYNASC.2014.36