Modeling the portfolio selection problem with constraint programming

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

2 Scopus citations

Abstract

Portfolio selection is a relevant problem in finance and economics. It consists in selecting a portfolio of assets considering a given expected return such that the risk of the portfolio is minimized. Several approaches have been proposed to tackle this problem, which are mainly based on mathematical programming techniques and metaheuristics. In this paper we illustrate how this problem can easily be modeled and solved by a relatively modern and declarative programming paradigm called constraint programming.

Original languageEnglish
Title of host publicationHCI International 2013 - Posters' Extended Abstracts - International Conference, HCI International 2013, Proceedings
PublisherSpringer Verlag
Pages645-649
Number of pages5
EditionPART I
ISBN (Print)9783642394720
DOIs
StatePublished - 1 Jan 2013
Event15th International Conference on Human-Computer Interaction, HCI International 2013 - Las Vegas, NV, United States
Duration: 21 Jul 201326 Jul 2013

Publication series

NameCommunications in Computer and Information Science
NumberPART I
Volume373
ISSN (Print)1865-0929

Conference

Conference15th International Conference on Human-Computer Interaction, HCI International 2013
CountryUnited States
CityLas Vegas, NV
Period21/07/1326/07/13

Keywords

  • Constraint modeling
  • Constraint satisfacion
  • Portfolio selection problem

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