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A Survey on Financial Applications of Metaheuristics
AMPARO SOLER-DOMINGUEZ, Universitat Jaume I
ANGEL A. JUAN, Universitat Oberta de Catalunya – IN3
RENATAS KIZYS, University of Portsmouth
Modern heuristics or metaheuristics are optimization algorithms that have been increasingly used during
the last decades to support complex decision making in a number of fields, such as logistics and
transportation, telecommunication networks, bioinformatics, finance, etc. The continuous increase in
computing power, together with advancements in metaheuristics frameworks and parallelization
strategies, are empowering these types of algorithms as one of the best alternatives to solve rich and real-
life combinatorial optimization problems that arise in a number of financial and banking activities. This
paper reviews some of the works related to the use of metaheuristics in solving both classical and
emergent problems in the finance arena. A non-exhaustive list of examples includes rich portfolio
optimization, index tracking, enhanced indexation, credit risk, stock investments, financial project
scheduling, option pricing, feature selection, bankruptcy and financial distress prediction, and credit risk
assessment. The paper also discusses some open opportunities for researchers in the field, and forecast
the evolution of metaheuristics to include real-life uncertainty conditions into the optimization problems
being considered.
• Applied computing➝Operational research➝Decision analysis • Applied computing➝Law, social and behavioral
sciences➝Economics.
Additional Key Words and Phrases: Metaheuristics, Finance, Combinatorial Optimization
INTRODUCTION
Centered on the wealth creation process, the study of finance and financial
instruments is considered to be one of the trendiest di
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