Comparative results of heuristics for portfolio selection problem

Six heuristic and metaheuristic algorithms are proposed to address constrained PS and indicate that the heuristics suggested can successfully solve the PSP and compete with previously proposed heuristic techniques.

Abstract

The heuristic approach to constrained portfolio selection problem (PSP) has received much attention due to the intractable nature of the problem. In this paper, six heuristic and metaheuristic algorithms are proposed to address constrained PS. Computational experiments are performed on four benchmark data instances and a comparative study is conducted between the heuristics proposed in this paper and those suggested in two papers that address the same problem. The purpose of this paper is to investigate the successful application of heuristics not yet applied to the problem. The results obtained indicate that the heuristics suggested in this work can successfully solve the PSP and compete with previously proposed heuristic techniques.