Randomized time-varying knapsack problems via binary beetle antennae search algorithm: Emphasis on applications in portfolio insurance

Citation:

Medvedeva, M.  A., Katsikis, V.  N., Mourtas, S.  D., & Simos, T. E. (2020). Randomized time-varying knapsack problems via binary beetle antennae search algorithm: Emphasis on applications in portfolio insurance. Mathematical Methods in the Applied Sciences. presented at the 2020, John Wiley & Sons, Ltd. Copy at http://www.tinyurl.com/yxt4kj4c

Abstract:

The knapsack problem is a problem in combinatorial optimization, and in many such problems, exhaustive search is not tractable. In this paper, we describe and analyze the randomized time-varying knapsack problem (RTVKP) as a time-varying integer linear programming (TV-ILP) problem. In this way, we present the on-line solution to the RTVKP combinatorial optimization problem and highlight the restrictions of static methods. In addition, the RTVKP is applied in the field of finance and converted into a portfolio insurance problem. Our methodology is confirmed by simulation tests in real-world data sets, in order to explain being an excellent alternative to traditional approaches.

Notes:

doi: 10.1002/mma.6904

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