Study of security investment optimizing combination based on PSACO

Proceedings - International Symposium on Information Processing, ISIP 2008 and International Pacific Workshop on Web Mining and Web-Based Application, WMWA 2008

Volumn , Issue , 2008, Pages 710-714

  Tian, Jinyu ^a   Ma, Jianhong ^a  

^a NORTH CHINA ELECTRIC POWER UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

ANT-COLONY OPTIMIZATION; INTERNATIONAL SYMPOSIUM; WEB-BASED APPLICATIONS; WEB-MINING;

CELLULAR AUTOMATA; GLOBAL OPTIMIZATION; HEURISTIC PROGRAMMING; INVESTMENTS; MINING; WEB SERVICES; WORLD WIDE WEB;

PARTICLE SWARM OPTIMIZATION (PSO);

EID: 51749121266     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ISIP.2008.119     Document Type: Conference Paper

References (13)

1. Markowitz H. Portfolio selection. Journal of Finance 1952; 7:77-91.
2. Chang T-J, Meade N, Beasley J, Sharaiha Y. Heuristics for cardinality constrained portfolio optimization. Computers & Operations Research 2000; 27:1271-302.
3. Lin D., Wang S, Yan H.A multi-objective genetic algorithm for portfolio selection problem. In: Proceedings of ICOTA 2001.
4. Streichert F, Ulmer H, Zell A. Evolutionary algorithms and the cardinality constrained portfolio optimization problem. In: Selected papers of the international conference on operations reasearch (OR 2003). Heidelberg, 3-5 September 2003.
5. Fieldsend J, Matatko J, Peng M. Cardinality constrained portfolio optimisation. In: Proceedings of the fifth international conference on intelligent data engineering and automated learning (IDEAL'04). Exeter, 25-27 August 2004.
6. Xia Y, Liu B, Wang S, Lai K. A model for portfolio selection with order of expected returns. Computers & Operations Research 2000; 27:19-22.
7. Schaerf A. Local search techniques for constrained portfolio selection problems. Computational Economics 2002; 20:177-90.
8. Gilli M, Kelezi E, Heuristic approaches for portfolio optimization. In: Sixth international conference on computing in economics and finance of the society for computational economics. Barcelona, 6-8 July 2000.
9. Kellerer H, Maringer D. Optimization of cardinality constrained portfolios with an hybrid local search algorithm. In: MIC'2001-4th Methaheuristics international conference. Porto, 16-20 July 2001.
10. P.S. Shelokar et al., Particle swarm and ant colony algorithms hybridized, Appl. Math. Comput. No. 10, 2006.
11. Jobst N, Horniman M, Lucas C, Mitra G. Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. Quantitative Finance 2001; 1: 1-13.
12. Vincenzo Tola, Fabrizio Lillo, Mauro Gallegatia, Rosario N. Mantegna. Cluster analysis for portfolio optimization. Journal of Economic Dynamics & Control. 2007:1:1-24.
13. K.F. Doemer, W.J. Gutjahr, R.F. Hartl, C. Strauss, C. Stummer. Pareto ant colony optimization with ILP preprocessing in multiobjective project portfolio selection. European Journal of Operational Research 171 (2006) 830-841