Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure

Value‐at‐risk (VaR) is a widely acceptable risk measure in finance and particularly, in the portfolio selection problem (PSP). However, due to the non‐convexity, its incorporation into an optimization model makes it challenging and difficult to solve. Hence, the development of iterative‐based heuris...

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Veröffentlicht in:	International transactions in operational research 2023-09, Vol.30 (5), p.2665-2690
Hauptverfasser:	Hooshmand, F., Anoushirvani, Z., MirHassani, S.A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms cardinality constraint Convexity Heuristic methods Iterative methods iterative‐based heuristic algorithm Operations research Optimization models portfolio selection problem Run time (computers) scenario‐based model transaction cost value‐at‐risk
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