Metaheuristics for portfolio optimization : an introduction using MATLAB®

Cover -- Half-Title Page -- Title Page -- Copyright Page -- Contents -- Preface -- PART 1 -- 1. Introduction to Portfolio Optimization -- 1.1. Fundamentals of portfolio optimization -- 1.2. An example case study -- 1.2.1. Portfolio P: Unconstrained portfolio optimization -- 1.2.2. Portfolio P: Constrained portfolio optimization -- 1.2.3. Portfolio P: Sharpe Ratio-based portfolio optimization -- 1.3. MATLAB® demonstrations -- 2. A Brief Primer on Metaheuristics -- 2.1. Metaheuristics framework -- 2.2. Exact methods versus metaheuristics -- 2.3. Population-based metaheuristics - Evolutionary Algorithms -- 2.3.1. Evolutionary Algorithm basics -- 2.4. Evolution Strategy -- 2.4.1. Evolution Strategy: genetic inheritance operators -- 2.4.2. Evolution Strategy process flow chart -- 2.4.3. Demonstration of Evolution Strategy -- 2.4.4. Experimental results and analysis -- 2.5. Differential Evolution strategy -- 2.5.1. Differential Evolution operators -- 2.5.2. Differential Evolution strategy process flow chart -- 2.5.3. Differential Evolution strategies -- 2.5.4. Demonstration of Differential Evolution Strategy -- 2.5.5. Experimental results and analysis -- 2.6. MATLAB® demonstrations -- PART 2 -- 3. Heuristic Portfolio Selection -- 3.1. Portfolio selection -- 3.2. Clustering -- 3.3. k-means clustering -- 3.4. Heuristic selection of securities -- 3.4.1. Heuristic portfolio selection for S&P BSE200 -- 3.4.2. Heuristic portfolio selection for Nikkei225 -- 3.5. k-portfolio performance -- 3.5.1. Equal Weighted k-portfolio construction -- 3.5.2. Inverse Volatility Weighted k-portfolio construction -- 3.5.3. Other k-portfolio characteristics -- 3.6. MATLAB® demonstrations -- 4. Metaheuristic Risk-Budgeted Portfolio Optimization -- 4.1. Risk budgeting -- 4.2. Long-Short portfolio -- 4.3. Risk-Budgeted Portfolio Optimization model -- 4.3.1. Constraint handling.