A combinatorial optimization approach to scenario filtering in portfolio selection.
Justo PuertoFederica RiccaMoisés Rodríguez-MadrenaAndrea ScozzariPublished in: Comput. Oper. Res. (2022)
Keyphrases
- combinatorial optimization
- portfolio selection
- combinatorial optimization problems
- traveling salesman problem
- simulated annealing
- metaheuristic
- portfolio optimization
- mathematical programming
- branch and bound
- financial markets
- portfolio management
- branch and bound algorithm
- robust optimization
- optimization problems
- combinatorial problems
- hard combinatorial optimization problems
- tabu search
- vehicle routing problem
- multiple objectives
- optimal portfolio
- evolutionary algorithm
- short term