Paper Info
Title
A Local Search Approach To Solve A Financial Portfolio Design Problem
Abstract
This paper introduces a local search optimization technique for solving efficiently a financial portfolio design problem which consists to affect assets to portfolios, allowing a compromise between maximizing gains and minimizing losses. This practical problem appears usually in financial engineering, such as in the design of CDO-squared portfolios. This problem has been modeled by Flener et al. who proposed an exact method to solve it. It can be formulated as a quadratic program on the 0-1 domain. It is well known that exact solving approaches on difficult and large instances of quadratic integer programs are known to be inefficient. That is why this work has adopted a local search method. It proposes neighborhood and evaluation functions specialized on this problem. To boost the local search process, it also proposes a greedy algorithm to start the search with an optimized initial configuration. Experimental results on non-trivial instances of the problem show the effectiveness of this work's approach.
Year
DOI
Venue
2015
10.4018/IJAMC.2015040101
INTERNATIONAL JOURNAL OF APPLIED METAHEURISTIC COMPUTING
Keywords
Field
DocType
CDO-Squared, Financial Portfolio Design, Greedy Search, IDWalk, Local Search, Simulated Annealing
Integer,Mathematical optimization,Guided Local Search,Quadratic equation,Greedy algorithm,Portfolio,Quadratic programming,Local search (optimization),Finance,Financial engineering,Mathematics
Journal
Volume
Issue
ISSN
6
2
1947-8283
Citations 
PageRank 
References 
0
0.34
8
Authors
2
Name
Order
Citations
PageRank
Fatima Zohra Lebbah100.68
Yahia Lebbah211519.34