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Metaheuristics for rich portfolio optimisation and risk management:: Current state and future trends

Metaheuristics for rich portfolio optimisation and risk management:: Current state and future trends
Metaheuristics for rich portfolio optimisation and risk management:: Current state and future trends
Computational finance is an emerging application field of metaheuristic algorithms. In particular, these optimisation methods are becoming the solving approach alternative when dealing with realistic versions of several decision-making problems in finance, such as rich portfolio optimisation and risk management. This paper reviews the scientific literature on the use of metaheuristics for solving NP-hard versions of these optimisation problems and illustrates their capacity to provide high-quality solutions under scenarios considering realistic constraints. The paper contributes to the existing literature in three ways. Firstly, it reviews the literature on metaheuristic optimisation applications for portfolio and risk management in a systematic way. Secondly, it identifies the linkages between portfolio optimisation and risk management and presents a unified view and classification of both problems. Finally, it outlines the trends that have gradually become apparent in the literature and will dominate future research in order to further improve the state-of-the-art in this knowledge area.
Portfolio optimisation, Risk management, combinatorial optimisation, Metaheuristics
2214-7160
Doering, Jana
c8b6e354-b54f-415b-8873-805cb1b7e8ea
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Juan, Angel A.
a08d6aac-1e9b-4537-81a7-29a1ba791f26
Fito, Angels
1fd5d8e8-9781-4d0b-8a6d-dcded432a342
Polat, Onur
962fa86e-1453-4346-b040-8146fb527197
Doering, Jana
c8b6e354-b54f-415b-8873-805cb1b7e8ea
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Juan, Angel A.
a08d6aac-1e9b-4537-81a7-29a1ba791f26
Fito, Angels
1fd5d8e8-9781-4d0b-8a6d-dcded432a342
Polat, Onur
962fa86e-1453-4346-b040-8146fb527197

Doering, Jana, Kizys, Renatas, Juan, Angel A., Fito, Angels and Polat, Onur (2019) Metaheuristics for rich portfolio optimisation and risk management:: Current state and future trends. Operations Research Perspectives, 6, [100121]. (doi:10.1016/j.orp.2019.100121).

Record type: Article

Abstract

Computational finance is an emerging application field of metaheuristic algorithms. In particular, these optimisation methods are becoming the solving approach alternative when dealing with realistic versions of several decision-making problems in finance, such as rich portfolio optimisation and risk management. This paper reviews the scientific literature on the use of metaheuristics for solving NP-hard versions of these optimisation problems and illustrates their capacity to provide high-quality solutions under scenarios considering realistic constraints. The paper contributes to the existing literature in three ways. Firstly, it reviews the literature on metaheuristic optimisation applications for portfolio and risk management in a systematic way. Secondly, it identifies the linkages between portfolio optimisation and risk management and presents a unified view and classification of both problems. Finally, it outlines the trends that have gradually become apparent in the literature and will dominate future research in order to further improve the state-of-the-art in this knowledge area.

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Doering_18___Metaheuristics_for_Rich_Portfolio_Optimisation_and_Risk_Management - Accepted Manuscript
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Accepted/In Press date: 19 August 2019
e-pub ahead of print date: 19 August 2019
Published date: 2019
Keywords: Portfolio optimisation, Risk management, combinatorial optimisation, Metaheuristics

Identifiers

Local EPrints ID: 434753
URI: http://eprints.soton.ac.uk/id/eprint/434753
ISSN: 2214-7160
PURE UUID: 2a181a63-f294-4469-8c2b-2a60688cf059
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

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Date deposited: 08 Oct 2019 16:30
Last modified: 28 Apr 2022 02:27

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Contributors

Author: Jana Doering
Author: Renatas Kizys ORCID iD
Author: Angel A. Juan
Author: Angels Fito
Author: Onur Polat

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