Title :
Particle Swarm Optimization for Constrained Portfolio Selection Problems
Author :
Chen, Wei ; Zhang, Run-tong ; Cai, Yong-Ming ; Xu, Fa-sheng
Author_Institution :
Sch. of Econ. & Manage., Beijing Jiao Tong Univ.
Abstract :
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
Keywords :
investment; particle swarm optimisation; constrained portfolio selection problems; financial decisions; heuristic algorithm; investments; particle swarm optimization; risk minimization; Asset management; Computer aided instruction; Conference management; Constraint theory; Costs; Cybernetics; Financial management; Floors; Heuristic algorithms; Investments; Machine learning; Particle swarm optimization; Portfolios; Risk management; Portfolio selection; floor and ceiling constrains; particle swarm optimization; transaction cost;
Conference_Titel :
Machine Learning and Cybernetics, 2006 International Conference on
Conference_Location :
Dalian, China
Print_ISBN :
1-4244-0061-9
DOI :
10.1109/ICMLC.2006.258773
