Particle swarm optimization approach to portfolio optimization
From MaRDI portal
Publication:1026729
DOI10.1016/j.nonrwa.2008.04.023zbMath1163.90669OpenAlexW2162397932MaRDI QIDQ1026729
Publication date: 29 June 2009
Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nonrwa.2008.04.023
Related Items (21)
Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem ⋮ 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization ⋮ Particle Swarm Optimization for Preference Disaggregation in Multicriteria Credit Scoring Problems ⋮ The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization ⋮ An iterative method for solving a bi-objective constrained portfolio optimization problem ⋮ A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures ⋮ Hybrid Enhanced Binary Honey Badger Algorithm with Quadratic Programming for Cardinality Constrained Portfolio Optimization ⋮ Application of Constrained Spider Monkey Optimization to Solve Portfolio Optimization Problem ⋮ A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs ⋮ Credit portfolio management using two-level particle swarm optimization ⋮ Equity portfolio management with cardinality constraints and risk parity control using multi-objective particle swarm optimization ⋮ Flocking in nonlinear multi-agent systems with time-varying delay via event-triggered control ⋮ A fuzzy interactive approach for optimal portfolio management ⋮ Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm ⋮ Heuristic algorithms for the cardinality constrained efficient frontier ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate ⋮ MURAME parameter setting for creditworthiness evaluation: data-driven optimization ⋮ Mixed Tabu machine for portfolio optimization problem ⋮ Particle swarm optimization with dynamic random population topology strategies for a generalized portfolio selection problem ⋮ Application of artificial bee colony algorithm to portfolio adjustment problem with transaction costs
Cites Work
- On a local-search heuristic for a class of tracking error minimization problems in portfolio management
- Portfolio selection using neural networks
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- An algorithm for portfolio selection in a frictional market
- A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
- Simulated annealing for complex portfolio selection problems.
- Heuristics for cardinality constrained portfolio optimization
- Improving portfolio efficiency: a genetic algorithm approach
This page was built for publication: Particle swarm optimization approach to portfolio optimization
