Cardinality constrained portfolio optimization

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020624" target="_blank" >RIV/61989100:27510/09:00020624 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Cardinality constrained portfolio optimization

Original language description

Portfolio optimization is one of the important areas of finance. In this paper cardinality constrained mean-variance model is used. It is very similar to well known Markowitz mean-variance model, the only difference is that the number of assets held is limited. To solve this modified model binary version of a particle swarm optimization in co-operation with nonlinear programming is utilized. The results show that the binary particle swarm optimization approach is successful in the portfolio optimization.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GA402%2F08%2F1237" target="_blank" >GA402/08/1237: Application of complex Lévy processes in modeling of financial assets prices</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

MendelNet PEF 2009

ISBN

978-80-7375-351-1

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

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Publisher name

Mendelova zemědělská a lesnická univerzita v Brně

Place of publication

Brno

Event location

PEF MZLU v Brně

Event date

Nov 27, 2009

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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