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Kernel Search: a new heuristic framework for portfolio selection

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  • Enrico Angelelli
  • Renata Mansini
  • M. Speranza

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  • Enrico Angelelli & Renata Mansini & M. Speranza, 2012. "Kernel Search: a new heuristic framework for portfolio selection," Computational Optimization and Applications, Springer, vol. 51(1), pages 345-361, January.
    • Handle: RePEc:spr:coopap:v:51:y:2012:i:1:p:345-361
    DOI: 10.1007/s10589-010-9326-6
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Luca Chiodi & Renata Mansini & Maria Speranza, 2003. "Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection," Annals of Operations Research, Springer, vol. 124(1), pages 245-265, November.
    3. Guastaroba, Gianfranco & Mansini, Renata & Speranza, M. Grazia, 2009. "On the effectiveness of scenario generation techniques in single-period portfolio optimization," European Journal of Operational Research, Elsevier, vol. 192(2), pages 500-511, January.
    4. Hans Kellerer & Renata Mansini & M. Speranza, 2000. "Selecting Portfolios with Fixed Costs and Minimum Transaction Lots," Annals of Operations Research, Springer, vol. 99(1), pages 287-304, December.
    5. Angelelli, Enrico & Mansini, Renata & Speranza, M. Grazia, 2008. "A comparison of MAD and CVaR models with real features," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1188-1197, July.
    6. Egon Balas & Eitan Zemel, 1980. "An Algorithm for Large Zero-One Knapsack Problems," Operations Research, INFORMS, vol. 28(5), pages 1130-1154, October.
    7. N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
    8. Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
    9. David Pisinger, 1999. "Core Problems in Knapsack Algorithms," Operations Research, INFORMS, vol. 47(4), pages 570-575, August.
    10. Hiroshi Konno & Rei Yamamoto, 2008. "Applications of Integer Programming to Financial Optimization," Springer Optimization and Its Applications, in: Constantin Zopounidis & Michael Doumpos & Panos M. Pardalos (ed.), Handbook of Financial Engineering, pages 25-48, Springer.
    11. Hiroshi Konno & Rei Yamamoto, 2005. "Integer programming approaches in mean-risk models," Computational Management Science, Springer, vol. 4(4), pages 339-351, November.
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    Cited by:

    1. Adam Bouland & Wim van Dam & Hamed Joorati & Iordanis Kerenidis & Anupam Prakash, 2020. "Prospects and challenges of quantum finance," Papers 2011.06492, arXiv.org.
    2. Mancini, Simona & Triki, Chefi & Piya, Sujan, 2022. "Optimal selection of touristic packages based on user preferences during sports mega-events," European Journal of Operational Research, Elsevier, vol. 302(3), pages 819-830.
    3. Juszczuk, Przemysław & Kaliszewski, Ignacy & Miroforidis, Janusz & Podkopaev, Dmitry, 2022. "Mean--variance portfolio selection problem: Asset reduction via nondominated sorting," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 263-272.
    4. Guastaroba, G. & Savelsbergh, M. & Speranza, M.G., 2017. "Adaptive Kernel Search: A heuristic for solving Mixed Integer linear Programs," European Journal of Operational Research, Elsevier, vol. 263(3), pages 789-804.
    5. Benati, Stefano & Puerto, Justo & Rodríguez-Chía, Antonio M. & Temprano, Francisco, 2022. "A mathematical programming approach to overlapping community detection," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 602(C).
    6. Leal, Marina & Ponce, Diego & Puerto, Justo, 2020. "Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs," European Journal of Operational Research, Elsevier, vol. 284(2), pages 712-727.
    7. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    8. Guastaroba, G. & Speranza, M.G., 2014. "A heuristic for BILP problems: The Single Source Capacitated Facility Location Problem," European Journal of Operational Research, Elsevier, vol. 238(2), pages 438-450.
    9. Al-Shihabi, Sameh, 2021. "A Novel Core-Based Optimization Framework for Binary Integer Programs- the Multidemand Multidimesional Knapsack Problem as a Test Problem," Operations Research Perspectives, Elsevier, vol. 8(C).
    10. Kirschstein, Thomas & Meisel, Frank, 2019. "A multi-period multi-commodity lot-sizing problem with supplier selection, storage selection and discounts for the process industry," European Journal of Operational Research, Elsevier, vol. 279(2), pages 393-406.
    11. Hanafi, Saïd & Mansini, Renata & Zanotti, Roberto, 2020. "The multi-visit team orienteering problem with precedence constraints," European Journal of Operational Research, Elsevier, vol. 282(2), pages 515-529.
    12. M. E. Bruni & P. Beraldi & D. Conforti, 2017. "Water distribution networks design under uncertainty," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(1), pages 111-126, April.
    13. H Mezali & J E Beasley, 2013. "Quantile regression for index tracking and enhanced indexation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(11), pages 1676-1692, November.
    14. Navratil, Robert & Taylor, Stephen & Vecer, Jan, 2022. "On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1215-1229.
    15. Marco Antonio Boschetti & Vittorio Maniezzo, 2022. "Matheuristics: using mathematics for heuristic design," 4OR, Springer, vol. 20(2), pages 173-208, June.
    16. Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
    17. Leonardo Riegel Sant’Anna & Tiago Pascoal Filomena & Pablo Cristini Guedes & Denis Borenstein, 2017. "Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming," Annals of Operations Research, Springer, vol. 258(2), pages 849-867, November.
    18. Filippi, C. & Guastaroba, G. & Speranza, M.G., 2016. "A heuristic framework for the bi-objective enhanced index tracking problem," Omega, Elsevier, vol. 65(C), pages 122-137.
    19. Lamanna, Leonardo & Mansini, Renata & Zanotti, Roberto, 2022. "A two-phase kernel search variant for the multidimensional multiple-choice knapsack problem," European Journal of Operational Research, Elsevier, vol. 297(1), pages 53-65.
    20. Tran, Trung Hieu & Nagy, Gábor & Nguyen, Thu Ba T. & Wassan, Niaz A., 2018. "An efficient heuristic algorithm for the alternative-fuel station location problem," European Journal of Operational Research, Elsevier, vol. 269(1), pages 159-170.
    21. Patrizia Beraldi & Antonio Violi & Massimiliano Ferrara & Claudio Ciancio & Bruno Antonio Pansera, 2021. "Dealing with complex transaction costs in portfolio management," Annals of Operations Research, Springer, vol. 299(1), pages 7-22, April.

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