The Portfolio Selection Problem is amongst the most studied issues in finance. ealistic portfolio selection under short selling is recently receiving more at- tention amongst scholars, but often the computational phase is not discussed properly in terms of strategies used and models at hand; furthermore most approaches are aimed in determining single risk/return points. The aim of this paper is instead to draw out the whole efficient frontier in pres- ence of realistic short selling constraints. We extend our previous metaheuristic approach for Portfolio Selection to the case of short sellings and we propose a new set of benchmark instances, constructed from real-world market data. Our solver favorably compares with a Mixed Quadratic Programming formulation of the problem solved with IBM ILOG CPLEX 12.2.
L. Di Gaspero, G. di Tollo, A. Roli, A. Schaerf (2011). Local Search for Constrained Financial Portfolio Selection Problems with Short Sellings. Springer Berlin Heidelberg [10.1007/978-3-642-25566-3_34].
Local Search for Constrained Financial Portfolio Selection Problems with Short Sellings
ROLI, ANDREA;
2011
Abstract
The Portfolio Selection Problem is amongst the most studied issues in finance. ealistic portfolio selection under short selling is recently receiving more at- tention amongst scholars, but often the computational phase is not discussed properly in terms of strategies used and models at hand; furthermore most approaches are aimed in determining single risk/return points. The aim of this paper is instead to draw out the whole efficient frontier in pres- ence of realistic short selling constraints. We extend our previous metaheuristic approach for Portfolio Selection to the case of short sellings and we propose a new set of benchmark instances, constructed from real-world market data. Our solver favorably compares with a Mixed Quadratic Programming formulation of the problem solved with IBM ILOG CPLEX 12.2.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
