A hybrid particle swarm optimization approach and its application to solving portfolio selection problems

Shamshul Bahar Yaakob, Junzo Watada

    研究成果: Article査読

    抄録

    In modern portfolio theory, the basic topic is how to construct a diversified portfolio of financial securities to improve trade-offs between risk and return. The objective of this paper is to apply a heuristic algorithm using Particle Swarm Optimization (PSO) to the portfolio selection problem. PSO makes the search algorithm efficient by combining a local search method through self-experience with the global search method through neighboring experience. PSO attempts to balance the exploration-exploitation tradeoff that achieves efficiency and accuracy of optimization. In this paper, a newly obtained approach is proposed by making simple modifications to the standard PSO: the velocity is controlled and the mutation operator of Genetic Algorithms (GA) is added to solve a stagnation problem. Our adaptation and implementation of the PSO search strategy are applied to portfolio selection. Results of typical applications demonstrate that the Velocity Control Hybrid PSO (VC-HPSO) proposed in this study effectively finds optimum solution to portfolio selection problems. Results also show that our proposedmethod is a viable approach to portfolio selection.

    本文言語English
    ページ(範囲)473-478
    ページ数6
    ジャーナルJournal of Advanced Computational Intelligence and Intelligent Informatics
    15
    4
    出版ステータスPublished - 2011 6月

    ASJC Scopus subject areas

    • 人工知能
    • コンピュータ ビジョンおよびパターン認識
    • 人間とコンピュータの相互作用

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