A hybrid intelligent algorithm for optimal birandom portfolio selection problems

DOI10.1155/2014/213518MaRDI QIDQ1717876zbMATH OpenOpenAlexWikidataFDO

Authors Erdal Karapınar

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/213518

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10) Financial applications of other theories (91G80)

Review text

Summary: Birandom portfolio selection problems have been well developed and widely applied in recent years. To solve these problems better, this paper designs a new hybrid intelligent algorithm which combines the improved LGMS-FOA algorithm with birandom simulation. Since all the existing algorithms solving these problems are based on genetic algorithm and birandom simulation, some comparisons between the new hybrid intelligent algorithm and the existing algorithms are given in terms of numerical experiments, which demonstrate that the new hybrid intelligent algorithm is more effective and precise when the numbers of the objective function computations are the same.

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Cites work

• Chance-constrained Portfolio Selection with Birandom Returns
• LGMS-FOA: an improved fruit fly optimization algorithm for solving optimization problems
• Neural network for solving convex quadratic bilevel programming problems
• One Type of Optimal Portfolio Selection in Birandom Environments
• The effect of exit strategy on optimal portfolio selection with birandom returns

Cited in

(7)

• A hybrid algorithm for portfolio selection: an application on the Dow Jones Index (DJI)
• Chance-constrained Portfolio Selection with Birandom Returns
• A Hybrid Approach of Optimization and Sampling for Robust Portfolio Selection
• Mixed Tabu machine for portfolio optimization problem
• One Type of Optimal Portfolio Selection in Birandom Environments
• scientific article; zbMATH DE number 5260784 (Why is no real title available?)
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns

Describes a project that uses

Uses Software

• LGMS-FOA

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