Portfolio Optimization Using Particle Swarms with Stripes
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| Автор: | |
|---|---|
| Формат: | artículo original |
| Статус: | Versión publicada |
| Дата публикации: | 2009 |
| Описание: | 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. |
| Страна: | Portal de Revistas UCR |
| Институт: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Язык: | Español |
| OAI Identifier: | oai:portal.ucr.ac.cr:article/301 |
| Online-ссылка: | https://revistas.ucr.ac.cr/index.php/matematica/article/view/301 |
| Ключевое слово: | Portfolio optimization particle swarm optimization multiobjetive optimization Optimización de portafolios optimización por enjambre de partículas multiobjetivo optimización |