A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances.
Renatas KizysJana DoeringAngel A. JuanOnur PolatLaura CalvetJavier PanaderoPublished in: Comput. Oper. Res. (2022)
Keyphrases
- estimation algorithm
- improved algorithm
- optimization algorithm
- dynamic programming
- similarity measure
- objective function
- learning algorithm
- times faster
- theoretical analysis
- high accuracy
- computational cost
- computational complexity
- preprocessing
- segmentation algorithm
- single pass
- neural network
- detection algorithm
- np hard
- input data
- linear programming
- k means
- worst case
- significant improvement
- cost function
- computationally efficient
- search space
- simulated annealing
- tree structure
- matching algorithm
- recognition algorithm
- optimal solution