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A Metaheuristic-based DSS for Portfolio Optimization

  • Ulrich Derigs
  • Nils-H. Nickel
Part of the Operations Research Proceedings 2001 book series (ORP, volume 2001)

Abstract

In this paper we present a framework, i.e. a concept and design as well as results with a prototypical implementation of a metaheuristic-based decision support system PM-DSS© for portfolio optimization and managing investment guidelines. PM- DSS© can be used for active as well as passive fund management.

Keywords

Tracking Error Fund Manager Portfolio Manager Cardinality Constraint Constraint Checker 
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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References

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    Aarts, E. and Lenstra, J.K. (1997) Local Search in Combinatorial Optimization. John Wiley & SonsGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Ulrich Derigs
    • 1
  • Nils-H. Nickel
    • 1
  1. 1.Seminar for Information Systems and Operations Research (WINFORS)University of CologneCologneGermany

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