Ant Colony Optimization in Multiobjective Portfolio Selection

Multiobjective decision-making and combinatorial optimization have been studied extensively over the past few decades (cf. [16], and [4] for bibliographies). Both fields play a decisive role in multiobjective combinatorial optimization, for which the class of (multiobjective) portfolio selection is of particularly high practical relevance (cf. [10] for a survey). Research and development (R&D) management provides an especially useful example: when large amounts of resources (see [14]) and, more importantly, a product’s long-term commercial success are at stake it is crucial for a firm to determine the ”best” subset of R&D projects out of dozens of proposals.