In this paper, a heuristic method based on TabuSearch and TokenRing Search is being used in order to solve the Portfolio Optimization Problem. The seminal mean-variance model of Markowitz is being considered with the addition of cardinality and quantity constraints to better capture the dynamics of the trading procedure, the model becomes an NP-hard problem that can not be solved using an exact method. The combination of three different neighborhood relations is being explored with Tabu Search. In addition, a new constructive method for the initial solution is proposed. Finally, I show how the proposed techniques perform on public benchmarks
翻译：本文使用基于 TabuSearch 和 TokenRing 搜索的超光速方法来解决组合组合优化问题。马科威茨的原始平均差异模型正在考虑中,增加了基本因素和数量限制,以更好地捕捉交易程序的动态,该模型成为一个无法用精确方法解决的NP硬问题。正在探索与 TabuSearch的三种不同邻里关系的结合。此外,还提出了初步解决方案的新的建设性方法。最后,我展示了拟议技术如何以公共基准为基础运作。
相关内容
微信扫码咨询专知VIP会员