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Metaheuristics for the portfolio selection problem. (English) Zbl 1153.90587
Summary: The portfolio selection problem is a relevant problem arising in finance and economics. Some practical formulations of the problem include various kinds of nonlinear constraints and objectives and can be efficiently solved by approximate algorithms. Among the most effective approximate algorithms are metaheuristic methods, which have been proved to be very successful in many applications. This paper presents an overview of the literature on the application of metaheuristics to the portfolio selection problem, trying to provide a general descriptive scheme.

MSC:
90C59 Approximation methods and heuristics in mathematical programming
91G10 Portfolio theory
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