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International Conference on Modeling and Simulation in Engineering, Economics and Management

MS 2016: Modeling and Simulation in Engineering, Economics and Management pp 22–30Cite as

Solving Realistic Portfolio Optimization Problems via Metaheuristics: A Survey and an Example

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Part of the book series: Lecture Notes in Business Information Processing ((LNBIP,volume 254))

Abstract

Computational finance has become one of the emerging application fields of metaheuristic algorithms. In particular, these optimization methods are quickly becoming the solving approach alternative when dealing with realistic versions of financial problems, such as the popular portfolio optimization problem (POP). This paper reviews the scientific literature on the use of metaheuristics for solving rich versions of the POP and illustrates, with a numerical example, the capacity of these methods to provide high-quality solutions to complex POPs in short computing times, which might be a desirable property of solving methods that support real-time decision making.

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Acknowledgments

This work has been partially supported with doctoral grants from the UOC, the Spanish Ministry of Economy and Competitiveness (grants TRA2013-48180-C3-3-P, TRA2015-71883-REDT) and FEDER. Likewise we want to acknowledge the support received by the Department of Universities, Research & Information Society of the Catalan Government (Grant 2014-CTP-00001).

Author information

Authors and Affiliations

  1. Economics and Business Department, Universitat Oberta de Catalunya, Barcelona, Spain

    Jana Doering & Angels Fito

  2. Computer Science Department, Universitat Oberta de Catalunya – IN3, Castelldefels, Spain

    Angel A. Juan & Laura Calvet

  3. Subject Group Economics and Finance, University of Portsmouth, Portsmouth, UK

    Renatas Kizys

Authors
  1. Jana Doering
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  2. Angel A. Juan
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  3. Renatas Kizys
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  4. Angels Fito
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  5. Laura Calvet
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Corresponding author

Correspondence to Jana Doering .

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Editors and Affiliations

  1. Dept of Accounting & Finance, University of Zaragoza, Zaragoza, Spain

    Raúl León

  2. University Jaume I, Castellón de la Plana, Spain

    María Jesús Muñoz-Torres

  3. Dept of Accounting & Finance, University of Zaragoza, Zaragoza, Spain

    Jose M. Moneva

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© 2016 Springer International Publishing Switzerland

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Doering, J., Juan, A.A., Kizys, R., Fito, A., Calvet, L. (2016). Solving Realistic Portfolio Optimization Problems via Metaheuristics: A Survey and an Example. In: León, R., Muñoz-Torres, M., Moneva, J. (eds) Modeling and Simulation in Engineering, Economics and Management. MS 2016. Lecture Notes in Business Information Processing, vol 254. Springer, Cham. https://doi.org/10.1007/978-3-319-40506-3_3

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