Heuristic Optimization for Portfolio Management [Application Notes]

The aim of this contribution is to give a very brief survey of interesting problems in portfolio management where computational intelligence and in particular heuristic optimization can lead to solutions for realistic and highly relevant problems. Portfolio management has long been one of the core areas in finance. It is concerned with identifying the combination of financial assets that fits an investor´s needs and requirements the best. In practice, this touches a variety of different problems. Portfolio management is mostly about reducing as much risk as possible while achieving the highest possible returns. In portfolio management and optimization, profit is usually measured as rate of return, i.e., the percentage change of the initial investment.