Portfolio Optimization by Using Birds Flight Algorithm
Journal Title: International Journal of Academic Research in Accounting, Finance and Management Sciences - Year 2014, Vol 4, Issue 2
Abstract
Markowitz optimization problem so determination of investment efficient set, while the number of investable assets and constraints in the market is low can be solved by mathematical models. But when real-world conditions and limitations to be considered, portfolio optimization problem cannot solve easily using a methods of mathematics. For this reason, portfolio optimization using evolutionary algorithms has been an important topic of discussion today. The main objective of the present study is the solving of portfolio optimization problem (mean – variance model) by using Particle Swarm Optimization (PSO). for this purpose by use the price of 40 accepted shares in stock during the 1385 till 1390 years, is plotted the investment efficient set. Results from this study show that particle Swarm optimization method in portfolio optimization, despite the current limitations is successful.
Authors and Affiliations
Fatemeh Khaleghi Meybodi, Hassan Dehghan Denavi, Abolfazl Sadeghian
Keywords
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- EP ID EP105051
- DOI 10.6007/IJARAFMS/v4-i2/897
- Views 83
- Downloads 0
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