In this paper, a novel prediction based mean-variance (PBMV) model has been proposed, as an alternative to the conventional Markowitz mean-variance model, to solve the constrained portfolio optimization problem. In the Markowitz mean-variance model, the expected future return is taken as the mean of the past returns, which is incorrect. In the proposed model, first the expected future returns a...

Abstract—In real world applications, optimization is an inevitable stage in any engineering design. In recent days the optimization theory is also fused into other sciences which require precision in its final result. This topic sounds like a promising domain for research almost in all areas of science and technology. Perhaps several solution methods are proposed for solving problems that requi...

The aim of this paper is to propose a new particle swarm optimization algorithm to solve a hybrid flowshop scheduling with sequence-dependent setup times problem, which is of great importance in the industrial context. This algorithm is called diversified particle swarm optimization algorithm which is a generalization of particle swarm optimization algorithm and inspired by an anarchic society ...

in this article, multiple-product pvrp with pickup and delivery that is used widely in goods distribution or other service companies, especially by railways, was introduced. a mathematical formulation was provided for this problem. each product had a set of vehicles which could carry the product and pickup and delivery could simultaneously occur. to solve the problem, two meta-heuristic methods...

This paper provides a methodological framework in which the problem of IT project portfolio selection is solved by balancing between operational and strategic IT investments. From interviews with CIOs, we found that the interest in IT projects in many firms tends to center on operational benefits, rather than strategic benefits. We examined the impact of strategic IT investments from an IT port...

Multiobjective portfolio optimization problem is the portfolio process of the highest expected return among the various financial commodities of the capital market to meet the expected return objectives. And one of the most important and common management issues lies in determining the best portfolio out of a given set of investment proposals. As we know, modern portfolio theory provides a well...

The objective of this thesis is to investigate how to improve Particle Swarm Optimization by hybridization of stochastic search heuristics and by a Self-Organized Criticality extension. The thesis will describe two hybrid models extending Particle Swarm Optimization with two aspects from Evolutionary Algorithms, recombination via breeding and gene flow restriction via subpopulations. A further ...

The following MOEA algorithms are briefly summarized and compared: • NPGA Niched Pareto Genetic Algorithm (1994) – NPGA II (2001) • NSGA Non-dominated Sorting Genetic Algorithm (1994) – NSGA II (2000) • SPEA Strength Pareto Evolutionary Algorithm (1998) – SPEA2 (2001) – SPEA2+ (2004) – ISPEA Immunity SPEA (2003) • PAES Pareto Archived Evolution Strategy (2000) – M-PAES Mimetic PAES (2000) • PES...