Portfolio Optimization Using Particle Swarms with Stripes
שמור ב:
| מחבר: | |
|---|---|
| פורמט: | artículo original |
| סטטוס: | Versión publicada |
| Fecha de Publicación: | 2009 |
| תיאור: | In this paper it is consider the Portfolio Optimization Problem developed by Markowitz [11]. The basic assumption is that the investor tries to maximize his/her profit and at the same time, wants to minimize the risk. This problem is usually solved using a scalarization approach (with one objective). Here it is solved it as a bi-objective optimization problem. It uses a new version of the algorithm of Particle Swarm Optimization for Multi-Objective Problems to which it implemented a method of the stripes to improve dispersion. |
| País: | Portal de Revistas UCR |
| מוסד: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| שפה: | Español |
| OAI Identifier: | oai:portal.ucr.ac.cr:article/301 |
| גישה מקוונת: | https://revistas.ucr.ac.cr/index.php/matematica/article/view/301 |
| מילת מפתח: | Portfolio optimization particle swarm optimization multiobjetive optimization Optimización de portafolios optimización por enjambre de partículas multiobjetivo optimización |