Modeling the portfolio selection problem with constraint programming

Claudio León de la Barra, Ricardo Soto, Broderick Crawford, Camila Allendes, Hans Berendsen, Eric Monfroy

Resultado de la investigación: Capítulo del libro/informe/acta de congresoContribución a la conferenciarevisión exhaustiva

2 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Título de la publicación alojadaHCI International 2013 - Posters' Extended Abstracts - International Conference, HCI International 2013, Proceedings
EditorialSpringer Verlag
Páginas645-649
Número de páginas5
EdiciónPART I
ISBN (versión impresa)9783642394720
DOI
EstadoPublicada - 2013
Publicado de forma externa
Evento15th International Conference on Human-Computer Interaction, HCI International 2013 - Las Vegas, NV, Estados Unidos
Duración: 21 jul 201326 jul 2013

Serie de la publicación

NombreCommunications in Computer and Information Science
NúmeroPART I
Volumen373
ISSN (versión impresa)1865-0929

Conferencia

Conferencia15th International Conference on Human-Computer Interaction, HCI International 2013
País/TerritorioEstados Unidos
CiudadLas Vegas, NV
Período21/07/1326/07/13

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