An improved artificial bee colony algorithm for portfolio optimization Problem

被引：0

作者：

Wang Z. ^{[1
]}

Liu S. ^{[1
]}

Kong X. ^{[1
]}

机构：

[1] Department of Mathematics, Xidian University, Xi'an

来源：

International Journal of Advancements in Computing Technology | 2011年 / 3卷 / 10期

关键词：

Artificial bee colony; Efficient frontier; Portfolio optimization;

D O I：

10.4156/ijact.vol3.issue10.9

中图分类号：

学科分类号：

摘要：

To tackle the cardinality constrained portfolio optimization problem, an improved artificial bee colony algorithm is designed. The Deb's selection rule is introduced to guarantee the feasibility of optimal solution. To improve the convergent speed, a new search strategy is proposed. Furthermore, the Bolzmann selection probability is employed to maintain the population diversity. The experiment results indicate that the proposed algorithm is efficient and effective for the portfolio optimization problem, which can obtain a better portfolio strategy and diversify the portfolio risk efficiently.

引用

页码：67 / 74

页数：7

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