Portfolio optimization is a complex real-world problem where assets are selected such that profit is maximized while risk is simultaneously minimized. In recent years, nature-inspired algorithms have become a popular choice for efficiently identifying optimal portfolios. This paper introduces such an algorithm that, unlike previous algorithms, uses a set-based approach to reduce the dimensionality of the problem and to determine the appropriate budget al.location for each asset. The results show that the proposed approach is capable of obtaining good quality solutions, while being relatively fast.
CITATION STYLE
Erwin, K., & Engelbrecht, A. P. (2020). Set-Based Particle Swarm Optimization for Portfolio Optimization. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 12421 LNCS, pp. 333–339). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-030-60376-2_28
Mendeley helps you to discover research relevant for your work.