非凸投资组合优化的变邻域搜索算法

IF 1 4区经济学 Q4 BUSINESS

Engineering Economist Pub Date : 2019-06-16 DOI:10.1080/0013791X.2019.1619888

Andrijana Bačević, Nemanja Vilimonović, Igor Dabić, Jakov Petrović, Darko Damnjanović, Dušan Džamić

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引用次数: 3

摘要

摘要在本文中，我们考虑了一个在多个现实世界约束下的投资组合优化问题，例如：基数约束、跟踪误差、活跃份额和营业额。我们提出了一种基于可变邻域搜索（VNS）的启发式算法，该算法有效地解决了引入非凸性的额外约束。在基于VNS的启发式算法中，引入了几种邻域结构，实现了快速局部搜索。我们开发了一个VNS投资组合再平衡框架（VNS-PRF），其中包含两种再平衡策略。金融投资公司提供的数据集用于评估所提出的VNS-PRF的有效性和可靠性。计算实验和不同的投资组合性能指标表明，我们的方法能够获得具有竞争力的解决方案，并且可以应用于大规模数据集。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Variable neighborhood search heuristic for nonconvex portfolio optimization

Abstract In this article we consider a portfolio optimization problem under multiple real-world constraints, such as: cardinality constraints, tracking error, active share, and turnover. We propose a heuristic based on variable neighborhood search (VNS) that effectively addresses additional constraints that introduce non-convexities. In the VNS-based heuristic, several neighborhood structures are introduced and fast local search is implemented. We develop a VNS portfolio rebalancing framework (VNS-PRF) with two rebalance strategies. Data sets provided by a financial investment firm are used to evaluate the validity and reliability of the proposed VNS-PRF. Computational experiments and different portfolio performance measures indicate that our approach is able to obtain solutions with competitive quality and can be applied on large-scale data sets.

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来源期刊

Engineering Economist ENGINEERING, INDUSTRIAL-OPERATIONS RESEARCH & MANAGEMENT SCIENCE

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The Engineering Economist is a refereed journal published jointly by the Engineering Economy Division of the American Society of Engineering Education (ASEE) and the Institute of Industrial and Systems Engineers (IISE). The journal publishes articles, case studies, surveys, and book and software reviews that represent original research, current practice, and teaching involving problems of capital investment. The journal seeks submissions in a number of areas, including, but not limited to: capital investment analysis, financial risk management, cost estimation and accounting, cost of capital, design economics, economic decision analysis, engineering economy education, research and development, and the analysis of public policy when it is relevant to the economic investment decisions made by engineers and technology managers.