On a Metaheuristic-Based DSS for Portfolio

this paper we present a framework i.e. a concept and design as well as results with a prototypical implementation of a metaheuristic-based decision support system PM-DSS for portfolio optimization and managing investment guidelines. PM-DSS can be used for active as well as passive fund management. The decision situation that we assume is the following: After the initial design of a portfolio the fund manager is constantly confronted with the following decision problem of Portfolio Re-Optimization: Due to changes on the market the given portfolio has become infeasible because of violations to the investment guidelines and/or sub-optimal due to under-performance with respect to yield, risk etc. In this daily situation the fund manager has to restructure the portfolio through a series of sell and buy transactions. Here the transactions themself may be under some restrictions as for instance minimal /maximal amounts et