Large-Scale Portfolio Optimization Using Biogeography-Based Optimization

被引：0
|
作者：
Wijaya, Wendy [1 ]
Sidarto, Kuntjoro Adji [1 ]
机构：
[1] Inst Teknol Bandung, Fac Math & Nat Sci, Dept Math, Ganesa St 10, Bandung 40132, Indonesia
来源：
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES | 2023年 / 11卷 / 04期
关键词：
biogeography-based optimization; constrained optimization; mean-variance model;
D O I：
10.3390/ijfs11040125
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number of shares traded grows, the problem becomes dimensionally very large. In this paper, we propose the usage of modified biogeography-based optimization to solve the large-scale constrained portfolio optimization. The results indicate the effectiveness of the method used.
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页数：16
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