Minimizing portfolio insurance (PI) costs is an investment strategy of great importance. In this chapter, by converting the classical minimum-cost PI (MCPI) problem to a multi-period MCPI (MPMCPI) problem, we define and investigate the MPMCPI under transaction costs (MPMCPITC) problem as a nonlinear programming (NLP) problem. The problem of MCPI gets more genuine in this way. Given the fact that such NLP problems are widely handled by intelligent algorithms, we are introducing a well-tuned approach that can solve the challenging MPMCPITC problem. In our portfolios’ applications, we use real-world data and, along with some of the best memetic meta-heuristic and commercial methods, we provide a solution to the MPMCPITC problem, and we compare their solutions to each other.
CITATION STYLE
Katsikis, V. N., & Mourtas, S. D. (2021). Portfolio Insurance and Intelligent Algorithms. In Modeling and Optimization in Science and Technologies (Vol. 18, pp. 305–323). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-030-72929-5_14
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