Constraint Programming Applied to Portfolio Design Problem

This chapter introduces Constraint Programming (CP) approaches for solving efficiently a ðnancial portfolio design problem. The CP includes powerful techniques for modeling and solving complex problems. Symmetry breaking coming firstly from CP has proved its efficiency in minimizing CPU times when the problem is symmetric. The authors have adopted CP techniques to model the problem in a constraints system to capitalize on the flexibility of the CP paradigm and to take into consideration the symmetric aspect of the problem. The authors propose different CP models and different hybridizations of symmetry breaking techniques to tackle the problem. Experimental results on non-trivial instances of the problem show the effectiveness of the CP approach.