The Dynamic Portfolio Selection Problem: Complexity, Algorithms and Empirical Analysis

Abstract

In the real world, problems usually involve a characteristic that is not typically considered when experimenting algorithmically; this characteristic is the change concerning time. The parameters included in many issues are not static, but dynamic, they are altered over time. Until a few years ago due to, among other things, the limited computational power to which one had access, it was very complicated for some researchers to be able to deal with problems in a dynamic way. This chapter makes a comparison between some metaheuristics when working on the issue of dynamic project portfolio selection. Also, it approaches the correspondence between the Dynamic project portfolio selection and the well-known Knapsack problem, as well as makes the demonstration, step by step, that the first one is a NP-hard problem.