نتایج جستجو برای: portfolio optimization problem pop
تعداد نتایج: 1123730 فیلتر نتایج به سال:
the markowitz’s optimization problem is considered as a standard quadratic programming problem that has exact mathematical solutions. considering real world limits and conditions, the portfolio optimization problem is a mixed quadratic and integer programming problem for which efficient algorithms do not exist. therefore, the use of meta-heuristic methods such as neural networks and evolutionar...
Comparison of particle swarm optimization and tabu search algorithms for portfolio selection problem
Using Metaheuristics models and Evolutionary Algorithms for solving portfolio problem has been considered in recent years.In this study, by using particles swarm optimization and tabu search algorithms we optimized two-sided risk measures . A standard exact penalty function transforms the considered portfolio selection problem into an equivalent unconstrained minimization problem. And in final...
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...
Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...
The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...
This paper presents novel krill herd (KH) nature-inspired metaheuristics for solving portfolio optimization task. Krill herd algorithm mimics the herding behavior of krill individuals. The objective function for the krill movement is defined by the minimum distances of each individual krill from food and from higher density of the herd. Constrained portfolio optimization problem extends the cla...
While the unconstrained portfolio optimization problem can be solved efficiently by standard algorithms, this is not the case for the portfolio optimization problem with additional real world constraints like cardinality constraints, buy-in thresholds, roundlots etc. In this paper we investigate two extensions to Evolutionary Algorithms (EA) applied to the portfolio optimization problem. First,...
this paper presents a new meta-heuristic solution to find the efficient frontier using the mean-variance approach. portfolio optimization problem is a quadratic programming model and, changes to np-hard if the number of assets and constraints has increased, and it cannot be solved using common mathematical methods in a reasonable time. therefore, a heuristic or meta-heuristic algorithm should b...
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