Particle swarm optimization for constrained portfolio selection problems

被引：0

作者：

Chen, Wei ^{[1
]}

Zhang, Run-Tong ^{[1
]}

Cai, Yong-Ming ^{[1
]}

Xu, Fa-Sheng ^{[2
]}

机构：

[1] Beijing Jiaotong Univ, Sch Econ & Management, Beijing 100044, Peoples R China

[2] Jinan Univ, Sch Sci, Jinan 250022, Peoples R China

来源：

PROCEEDINGS OF 2006 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-7 | 2006年

关键词：

portfolio selection; transaction cost; floor and ceiling constrains; particle swarm optimization;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions, modern portfolio theory is based on a rational investor choosing the proportions of assets in a portfolio so as to minimize risk and maximize the expected return. In this paper, the constrained portfolio selection problem is studied and a heuristic algorithm based on the particle swarm optimization (PSO) is applied to solve this problem. At first, considering of some complex realistic constrains a new portfolio selection model is formulated. In addition, PSO algorithm is given to solve this new model because traditional optimization algorithms fail to work efficiently. Finally, a numerical example of a portfolio selection problem is given to illustrate our proposed effective means.

引用

页码：2425 / +

页数：2

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