Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization

Expert Systems with Applications

Volumn 39, Issue 4, 2012, Pages 4558-4566

  Deng, Guang Feng ^a   Lin, Woo Tsong ^a   Lo, Chih Chung ^b  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

^b FO GUANG UNIVERSITY   (Taiwan)

Author keywords

Cardinality constrained portfolio optimization problem; Markowitz mean variance model; Nonlinear mixed quadratic programming problem; Particle swarm optimization

Indexed keywords

ALGORITHMIC SOLUTIONS; CARDINALITY CONSTRAINTS; CONSTRAINED PORTFOLIOS; CONVERGENCE SPEED; GERMANY; HONG-KONG; IMPROVED PARTICLE SWARM OPTIMIZATION; IMPROVED PSO; INVESTMENT PORTFOLIO; MARKOWITZ; META HEURISTIC ALGORITHM; NONLINEAR MIXED QUADRATIC PROGRAMMING PROBLEM; NUMERICAL SOLUTION; PARTICLE SWARM; PORTFOLIO OPTIMIZATION; PORTFOLIO SELECTION; PSO ALGORITHMS; QUADRATIC PROGRAMMING PROBLEMS; SEARCH STEPS;

CONSTRAINED OPTIMIZATION; DISTRIBUTED COMPUTER SYSTEMS; FINANCIAL DATA PROCESSING; GENETIC ALGORITHMS; HEURISTIC ALGORITHMS; INVESTMENTS; PROBLEM SOLVING; QUADRATIC PROGRAMMING; SIMULATED ANNEALING; TABU SEARCH;

PARTICLE SWARM OPTIMIZATION (PSO);

EID: 82255183152     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2011.09.129     Document Type: Article

References (22)

1. M.M. Ali, and P. Kaelo Improved particle swarm algorithms for global optimization Applied Mathematics and Computation 196 2 2008 578 593 (Pubitemid 351174320)
2. T.J. Chang, N. Meade, J.E. Beasley, and Y.M. Sharaiha Heuristics for cardinality constrained portfolio optimisation Computers & Operations Research 27 13 2000 1271 1302 (Pubitemid 30603255)
3. T.J. Chang, S.C. Yang, and K.J. Chang Portfolio optimization problems in different risk measures using genetic algorithm Expert Systems with Applications 36 7 2009 10529 10537
4. M. Clerc Particle swarm optimization 2006 ISTE London
5. M. Clerc, and J. Kennedy The particle swarm - Explosion, stability, and convergence in a multidimensional complex space IEEE Transactions on Evolutionary Computation 6 1 2002 58 73 (Pubitemid 34404564)
6. Y. Crama, and M. Schyns Simulated annealing for complex portfolio selection problems European Journal of Operational Research 150 3 2003 546 571
7. A.P. Engelbrecht Fundamentals of computational swarm intelligence 2005 Wiley Chichester, West Sussex, England; Hoboken, NJ
8. A. Fernandez, and S. Gomez Portfolio selection using neural networks Computers & Operations Research 34 4 2007 1177 1191 (Pubitemid 44429939)
9. P. Fourie, and A. Groenwold The particle swarm optimization algorithm in size and shape optimization Structural and Multidisciplinary Optimization 23 4 2002 259 267 (Pubitemid 35354676)
10. Y. Jiang, T. Hu, C. Huang, and X. Wu An improved particle swarm optimization algorithm Applied Mathematics and Computation 193 1 2007 231 239 (Pubitemid 47562556)
11. J. Kennedy, R.C. Eberhart, and Y. Shi Swarm intelligence 2001 Kaufmann San Francisco, CA
12. D. Maringer, and H. Kellerer Optimization of cardinality constrained portfolios with a hybrid local search algorithm Or Spectrum 25 4 2003 481 495 (Pubitemid 38293883)
13. H. Markowitz Portfolio selection Journal of Finance 1952 77 91
14. S. Paterlini, and T. Krink Differential evolution and particle swarm optimisation in partitional clustering Computational Statistics and Data Analysis 50 5 2006 1220 1247 (Pubitemid 41562038)
15. A. Ratnaweera, S. Halgamuge, and H. Watson Self-organizing hierarchical particle swarm optimizer with time-varying acceleration coefficients IEEE Transactions on Evolutionary Computation 8 3 2004 240 255
16. J. Schutte, and A. Groenwold A study of global optimization using particle swarms Journal of Global Optimization 31 1 2005 93 108 (Pubitemid 40608861)
17. Shi, Y.; & Eberhart, R. (1998). A modified particle swarm optimizer. Paper presented at the evolutionary computation proceedings, the 1998 IEEE International Conference on 1998. IEEE world congress on computational intelligence.
18. H. Soleimani, H.R. Golmakani, and M.H. Salimi Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm Expert Systems with Applications 36 3, Part 1 2009 5058 5063
19. P.K. Tripathi, S. Bandyopadhyay, and S.K. Pal Multi-objective particle swarm optimization with time variant inertia and acceleration coefficients Information Sciences 177 22 2007 5033 5049 (Pubitemid 47331463)
20. S.-J. Tsai, T.-Y. Sun, C.-C. Liu, S.-T. Hsieh, W.-C. Wu, and S.-Y. Chiu An improved multi-objective particle swarm optimizer for multi-objective problems Expert Systems with Applications 37 8 2010 5872 5886
21. F. van den Bergh, and A.P. Engelbrecht A study of particle swarm optimization particle trajectories Information Sciences 176 8 2006 937 971 (Pubitemid 43190068)
22. X. Yang, J. Yuan, J. Yuan, and H. Mao A modified particle swarm optimizer with dynamic adaptation Applied Mathematics and Computation 189 2 2007 1205 1213 (Pubitemid 46802736)