A Hybrid Combinatorial Approach to a Two-Stage Stochastic Portfolio Optimization Model with Uncertain Asset Prices
- Submitting institution
-
The University of Westminster
- Unit of assessment
- 11 - Computer Science and Informatics
- Output identifier
- qzww9
- Type
- D - Journal article
- DOI
-
10.1007/s00500-019-04517-y
- Title of journal
- Soft Computing
- Article number
- -
- First page
- 2809
- Volume
- 24
- Issue
- -
- ISSN
- 1432-7643
- Open access status
- Compliant
- Month of publication
- November
- Year of publication
- 2019
- URL
-
-
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
-
6
- Research group(s)
-
-
- Citation count
- 2
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- Market uncertainty is a prominent phenomenon in the portfolio optimisation problem, within the finance domain. This paper is significant because it incorporates market uncertainty as scenarios and adopts a more reliable risk measure CVaR to control the downside risk. Additionally, a hybrid combinatorial approach is developed which integrates a hybrid algorithm and a linear programming solver for the highly complex problem. The results demonstrate our method is effective and efficient to solve the problem while maintaining high solution quality in a reasonable amount of time and it has outstanding practical investment implications, such as effective portfolio constructions. Impact is emerging.
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -
