A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
نویسندگان
چکیده
Dealing with ill-defined problems, where the actual values of input parameters are unknown or not directly measurable, is generally not an easy task. In this paper, we propose a hybrid metaheuristic approach, incorporating a sampling-based simulation module, in order to enhance the robustness of the final solutions. Empirical application to the classical mean-variance portfolio optimization problem, which is known to be extremely sensitive to noises in asset means, is provided through a genetic algorithm solver. Results of the proposed approach are compared with that specified by the worst-case scenario. Keywords-robustness; simulation model; hybridization; evolutionary algorithm; portfolio optimization;
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