Method of Musical Composition for the Portfolio Optimization Problem

The constrained portfolio optimization problem with multi-objective functions cannot be efficiently solved using exact techniques. Thus, heuristics approaches seem to be the best option to find high quality solutions in a limited amount of time. For solving this problem, this paper proposes an algorithm based on the Method of Musical Composition (MMC), a metaheuristic that mimics an multi-agent based creativity system associated with musical composition. In order to prove its performance, the algorithm was tested over five well-known benchmark data sets and the obtained results prove to be highly competitive since they outperform those reported in the specialized literature in four out of the five tackled instances.