Implementation of particle swarm optimization in construction of optimal risky portfolios

IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management

Volumn , Issue , 2007, Pages 812-816

  Dashti, M A ^a   Farjami, Y ^a   Vedadi, A ^b   Anisseh, M ^c  

^a ISLAMIC AZAD UNIVERSITY   (Iran)

^b ISLAMIC AZAD UNIVERSITY   (Iran)

^c UNIVERSITY PUTRA MALAYSIA   (Malaysia)

Author keywords

Modern portfolio theory; Optimal risky portfolio; PSO; Sharpe ratio

Indexed keywords

ASSET MANAGEMENT; MATHEMATICAL MODELS; RISK ANALYSIS;

MEAN-VARIANCE MODEL; MODERN PORTFOLIO THEORY; OPTIMAL RISKY PORTFOLIOS;

PARTICLE SWARM OPTIMIZATION (PSO);

EID: 40649128577     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IEEM.2007.4419303     Document Type: Conference Paper

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