Modern Heuristics for Finance Problems: A Survey of Selected Methods and Applications

  • Frank Schlottmann
  • Detlef Seese


The high computational complexity of many problems in financial decision-making has prevented the development of time-efficient deterministic solution algorithms so far. At least for some of these problems, e.g., constrained portfolio selection or non-linear time series prediction problems, the results from complexity theory indicate that there is no way to avoid this problem. Due to the practical importance of these problems, we require algorithms for finding optimal or near-optimal solutions within reasonable computing time. Hence, heuristic approaches are an interesting alternative to classical approximation algorithms for such problems. Over the last years many interesting ideas for heuristic approaches were developed and tested for financial decision-making. We present an overview of the relevant methodology, and, some applications that show interesting results for selected problems in finance.


Option Price Heuristic Approach Portfolio Selection Problem Bankruptcy Prediction Credit Portfolio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer Science+Business Media New York 2004

Authors and Affiliations

  • Frank Schlottmann
    • 1
  • Detlef Seese
    • 2
  1. 1.GILLARDON AG Financial Software Research Dept.BrettenGermany
  2. 2.Institut AIFB Universität Karlsruhe (TH)KarlsruheGermany

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