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Local Search for Constrained Financial Portfolio Selection Problems with Short Sellings

  • Luca Di Gaspero
  • Giacomo di Tollo
  • Andrea Roli
  • Andrea Schaerf
Part of the Lecture Notes in Computer Science book series (LNCS, volume 6683)

Introduction

The Portfolio Selection Problem [7] is amongst the most studied issues in finance. In this problem, given a universe of assets (shares, options, bonds, . . . ), we are concerned in finding out a portfolio (i.e., which asset to invest in and by how much) which minimizes the risk while ensuring a given minimum return. In the most common formulation it is required that all the asset shares have to be non-negative. Even though this requirement is a common assumption behind theoretical approaches, it is not enforced in real-markets, where the presence of short positions (i.e., assets with negative shares corresponding to speculations on falling prices) is intertwined to long positions (i.e., assets with positive shares).

Keywords

Portfolio Selection Short Sellings Short Position Portfolio Selection Problem Steep Descent 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Luca Di Gaspero
    • 1
  • Giacomo di Tollo
    • 2
  • Andrea Roli
    • 3
  • Andrea Schaerf
    • 1
  1. 1.DIEGMUniversità degli Studi di UdineUdineItaly
  2. 2.LERIAUniversité d’Angers en Pays-de-LoireAngersFrance
  3. 3.DEISAlma Mater Studiorum Università di BolognaCesenaItaly

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