Solving cardinality constrained portfolio optimization problem by binary particle swarm optimization algorithm

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86080501" target="_blank" >RIV/61989100:27510/11:86080501 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Solving cardinality constrained portfolio optimization problem by binary particle swarm optimization algorithm

Popis výsledku v původním jazyce

Mathematical programming methods dominate in the portfolio optimization problems, but they cannot be used if we introduce a constraint limiting the number of different assets included in the portfolio. To solve this model some of the heuristics methods (such as genetic algorithm, neural networks and particle swarm optimization algorithm) must be used. In this paper we utilize binary particle swarm optimization algorithm and quadratic programming method to find an efficient frontier in portfolio optimization problem. Two datasets are utilized. First dataset consists of the stocks incorporated in the Dow Jones Industrial Average, second dataset contains stocks from the Standard and Poor's 500. The comparison of found efficient frontiers for different limitation on the number of stock held is made at the close of the paper.

Název v anglickém jazyce

Solving cardinality constrained portfolio optimization problem by binary particle swarm optimization algorithm

Popis výsledku anglicky

Mathematical programming methods dominate in the portfolio optimization problems, but they cannot be used if we introduce a constraint limiting the number of different assets included in the portfolio. To solve this model some of the heuristics methods (such as genetic algorithm, neural networks and particle swarm optimization algorithm) must be used. In this paper we utilize binary particle swarm optimization algorithm and quadratic programming method to find an efficient frontier in portfolio optimization problem. Two datasets are utilized. First dataset consists of the stocks incorporated in the Dow Jones Industrial Average, second dataset contains stocks from the Standard and Poor's 500. The comparison of found efficient frontiers for different limitation on the number of stock held is made at the close of the paper.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název periodika

Acta academica karviniensia

ISSN

1212-415X

e-ISSN

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Svazek periodika

2011

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

24-33

Kód UT WoS článku

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EID výsledku v databázi Scopus

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