Metaheuristics for Rich Portfolio Optimisation and Risk Management: Current State and Future Trends

Jana Doering, Renatas Kizys, Angel A. Juan, Àngels Fitó, Onur Polat
2019 Operations Research Perspectives  
A B S T R A C T 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
more » ... ovide 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.
doi:10.1016/j.orp.2019.100121 fatcat:ncxpgmkqczdgfl34albgx7z32m