Sparse, mean reverting portfolio selection using simulated annealing.
Norbert FogarasiJános LevendovszkyPublished in: Algorithmic Finance (2013)
Keyphrases
- portfolio selection
- simulated annealing
- multistage stochastic
- tabu search
- genetic algorithm
- portfolio management
- metaheuristic
- evolutionary algorithm
- portfolio optimization
- multiple objectives
- robust optimization
- financial markets
- artificial intelligence
- combinatorial optimization
- high dimensional
- optimization methods
- transaction costs
- optimization problems