The research of optimization methods for investment portfolio formation

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The standard Markowitz model is NP-complex, and the inclusion of real-life constraints complicates it. The correct approach to the solution will reduce the time to an acceptable level. This paper is the research instrumental methods for the investment portfolio formation. The advantages and disadvantages of quadratic programming for solving this problem are considered, as well as heuristic methods and metaheuristics as alternatives to exact solutions.

Portfolio optimization, quadratic programming, heuristic methods, metaheuristics

Короткий адрес: https://sciup.org/170185671

IDR: 170185671   |   DOI: 10.24411/2500-1000-2019-11705

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