Hybrid search for cardinality constrained portfolio optimization

Authors:
Miguel A. Gomez;Carmen X. Flores;Maria A. Osorio
Affiliations:
Universidad de las Americas, Puebla;Universidad de las Americas, Puebla;Ciudad Universitaria
Venue:
Proceedings of the 8th annual conference on Genetic and evolutionary computation
Year:
2006

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Abstract

In this paper, we describe how a genetic algorithm approach added to a simulated annealing (SA) process offers a better alternative to find the mean variance frontier in the portfolio selection process. The nonlinear mixed integer quadratic programming model is considerably more difficult to solve than the original model; but some computational experiments have shown that hybrid heuristics offer a good alternative for these types of problems.