A Constrained Consensus Based Optimization algorithm and its Application to Finance

DOI10.1016/J.AMC.2021.126726MaRDI QIDQ6379827arXivFDO

Authors Hyeong-Ohk Bae, Seung-Yeal Ha, Myeongju Kang, Hyuncheul Lim, Chanho Min, Jane Yoo

Publication date 9 October 2021

Full work available at URL https://doi.org/10.1016/J.AMC.2021.126726

Numerical optimization and variational techniques (65K10) (n)-body problems (70F10) Nonconvex programming, global optimization (90C26) Applications of mathematical programming (90C90) Numerical methods (including Monte Carlo methods) (91G60)

arXiv classification

math.OC

Abstract: In this paper, we propose a predictor-corrector type Consensus Based Optimization (CBO) algorithm on a convex feasible set. Our proposed algorithm generalizes the CBO algorithm in [11] to tackle a constrained optimization problem for the global minima of the non-convex function defined on a convex domain. As a practical application of the proposed algorithm, we study the portfolio optimization problem in finance. In this application, we introduce an objective function to choose the optimal weight on each asset in a asset-bundle which yields the maximal expected returns given a certain level of risks. Simulation results show that our proposed predictor-corrector type model is successful in finding the optimal value.

This page was built for publication: A Constrained Consensus Based Optimization algorithm and its Application to Finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6379827)