A constrained consensus based optimization algorithm and its application to finance

In this paper, we propose a predictor-corrector type Consensus Based Optimization(CBO) algorithm on convex feasible set. Our proposed generalizes the CBO in [11] to tackle constrained optimization problem for global minima of non-convex function defined domain. As practical application algorithm, study portfolio finance. application, introduce an objective choose optimal weight each asset asset-bundle, which yields maximal expected returns given certain level risks. Simulation results show that our model is successful finding value.