A constrained consensus based optimization algorithm and its application to finance

DOI10.1016/J.AMC.2021.126726MaRDI QIDQ2060189zbMATH OpenOpenAlexFDO

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

Publication date 13 December 2021

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.04499

zbMATH Keywords

portfolio selectionconsensus based optimizationMean-variance model

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Applications of mathematical programming (90C90) (n)-body problems (70F10)

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Cites work

• scientific article; zbMATH DE number 4048925 (Why is no real title available?)
• scientific article; zbMATH DE number 2121575 (Why is no real title available?)
• A consensus-based global optimization method for high dimensional machine learning problems
• A consensus-based model for global optimization and its mean-field limit
• An analytical framework for consensus-based global optimization method
• Convergence and error estimates for time-discrete consensus-based optimization algorithms
• Convergence of a first-order consensus-based global optimization algorithm
• From particle swarm optimization to consensus based optimization: stochastic modeling and mean-field limit
• Vehicular traffic, crowds, and swarms: from kinetic theory and multiscale methods to applications and research perspectives

Cited in

(8)

• Computation and analysis for a constrained entropy optimization problem in finance
• Consensus reaching process for portfolio selection: a behavioral approach
• Constrained Consensus-Based Optimization
• Leveraging memory effects and gradient information in consensus-based optimisation: on global convergence in mean-field law
• Quadratic interpolation optimization (QIO): a new optimization algorithm based on generalized quadratic interpolation and its applications to real-world engineering problems
• Consensus-based optimization via jump-diffusion stochastic differential equations
• A Constrained Consensus Based Optimization algorithm and its Application to Finance
• Time-delayed stochastic volatility model

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