ORCID
- Craven, Matthew: 0000-0001-9522-6173
Abstract
The cardinality-constrained portfolio optimization problem is NP-hard. Its Pareto front (or the Efficient Frontier - EF) is usually calculated by stochastic algorithms, including EAs. However, in certain cases the EF may be decomposed into a union of sub-EFs. In this work we propose a systematic process of excluding sub-EFs dominated by others, enabling us to calculate non-dominated sub-EFs. We then calculate whole EFs to a high degree of accuracy for small cardinalities, providing an alternative to EAs in those cases. We can use also this to provide insight into EAs on the problem.
DOI
10.1145/3067695.3082036
Publication Date
2017-07-18
Publication Title
Default journal
Organisational Unit
School of Engineering, Computing and Mathematics
Recommended Citation
Craven, M., & Graham, D. (2017) 'Exploring the (Efficient) Frontiers of Portfolio Optimization', Default journal, . Available at: https://doi.org/10.1145/3067695.3082036
