Title :
Index Tracking with Invasive Weed Optimization
Author :
Affolter, K. ; Schweizer, D. ; Hanne, T. ; Dornberger, R.
Author_Institution :
Inst. for Inf. Syst., Univ. of Appl. Sci. & Arts Northwestern, Olten, Switzerland
Abstract :
In this paper we explore possibilities to solve the index tracking problem with Invasive Weed Optimization (IWO), a rather new metaheuristics algorithm. The complexity of this real life problem and especially its solution space and restrictions require substantial adaptation of the IWO algorithm. Although the method basically works well, the obtained results do not reach our intended benchmark.
Keywords :
investment; optimisation; IWO; index tracking; invasive weed optimization; metaheuristics algorithm; Art; Benchmark testing; Indexes; Optimization; Portfolios; Standards; evolutionary algorithms; index tracking; invasive weed optimization; metaheuristics; portfolio optimization;
Conference_Titel :
Soft Computing and Machine Intelligence (ISCMI), 2014 International Conference on
DOI :
10.1109/ISCMI.2014.9
