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Modeling the portfolio selection problem with constraint programming

dc.contributor.authorde la Barra C.L.
dc.contributor.authorSoto R.
dc.contributor.authorCrawford B.
dc.contributor.authorAllendes C.
dc.contributor.authorBerendsen H.
dc.contributor.authorMonfroy E.
dc.date.accessioned2020-09-02T22:31:02Z
dc.date.available2020-09-02T22:31:02Z
dc.date.issued2013
dc.identifier10.1007/978-3-642-39473-7_128
dc.identifier.citation373, PART I, 645-649
dc.identifier.issn18650929
dc.identifier.urihttps://hdl.handle.net/20.500.12728/6691
dc.descriptionPortfolio 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. © Springer-Verlag Berlin Heidelberg 2013.
dc.language.isoen
dc.publisherSpringer Verlag
dc.subjectConstraint modeling
dc.subjectConstraint satisfacion
dc.subjectPortfolio selection problem
dc.subjectConstraint theory
dc.subjectMathematical programming
dc.subjectConstraint model
dc.subjectConstraint programming
dc.subjectConstraint satisfacion
dc.subjectDeclarative Programming
dc.subjectExpected return
dc.subjectMeta heuristics
dc.subjectPortfolio selection
dc.subjectPortfolio selection problems
dc.subjectComputer programming
dc.titleModeling the portfolio selection problem with constraint programming
dc.typeConference Paper


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