5f05ca25_on_and_Planning_Research_Group__Description
[Research Theme] Portfolio Optimisation. [Description] 
Recent research on both combinatorial optimisation and financial engineering leads to an increased amount of research in portfolio optimisation based on the modern portfolio theory, i.e the Mean-Variance model. By selecting a subset of investment assets, the objectives of the problem are to maximise the expected return as well as to minimise the risk. We investigate advanced computational methods including matheuristics based on mathematical programming and heuristics to address large scale portfolio optimisation problems with additional constraints to the basic model. In addition, intelligent search algorithms are studied concerning a range of real world trading constraints and multiple objectives.
Research Themes | Automated Scheduling, Optimisation and Planning Research Group
Description