Pareto Ant Colony Optimization: A metaheuristic approach to multiobjective portfolio selection

Veröffentlichungen: Beitrag in FachzeitschriftArtikelPeer Reviewed

Abstract

Selecting the "best" project portfolio out of a given set of investment proposals is a common and often critical management issue. Decision-makers must regularly consider multiple objectives and often have little a priori preference information available to them. Given these constraints, they can improve their chances of achieving success by following a two-phase procedure that first determines the solution space of all efficient (i.e., Pareto-optimal) portfolios and then allows them to interactively explore that space. However, the task of determining the solution space is not trivial: brute-force complete enumeration only works for small instances and the underlying NP-hard problem becomes increasingly demanding as the number of projects grows. Meta-heuristics provide a useful compromise between the amount of computation time necessary and the quality of the approximated solution space. This paper introduces Pareto Ant Colony Optimization as an especially effective meta-heuristic for solving the portfolio selection problem and compares its performance to other heuristic approaches (i.e., Pareto Simulated Annealing and the Non-Dominated Sorting Genetic Algorithm) by means of computational experiments with random instances. Furthermore, we provide a numerical example based on real world data.
OriginalspracheEnglisch
Seiten (von - bis)79-99
Seitenumfang21
FachzeitschriftAnnals of Operations Research
Jahrgang131
Ausgabenummer1-4
DOIs
PublikationsstatusVeröffentlicht - 2004

ÖFOS 2012

  • 101015 Operations Research
  • 502052 Betriebswirtschaftslehre

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