A new IPSO-SA approach for cardinality constrained portfolio optimization
نویسندگان
چکیده
منابع مشابه
Cardinality Constrained Portfolio Optimisation
The traditional quadratic programming approach to portfolio optimisation is difficult to implement when there are cardinality constraints. Recent approaches to resolving this have used heuristic algorithms to search for points on the cardinality constrained frontier. However, these can be computationally expensive when the practitioner does not know a priori exactly how many assets they may des...
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While the unconstrained portfolio optimization problem can be solved efficiently by standard algorithms, this is not the case for the portfolio optimization problem with additional real world constraints like cardinality constraints, buy-in thresholds, roundlots etc. In this paper we investigate two extensions to Evolutionary Algorithms (EA) applied to the portfolio optimization problem. First,...
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In this paper we consider the problem of "nding the e$cient frontier associated with the standard mean}variance portfolio optimisation model. We extend the standard model to include cardinality constraints that limit a portfolio to have a speci"ed number of assets, and to impose limits on the proportion of the portfolio held in a given asset (if any of the asset is held). We illustrate the di!e...
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ژورنال
عنوان ژورنال: International Journal of Industrial Engineering Computations
سال: 2011
ISSN: 1923-2926,1923-2934
DOI: 10.5267/j.ijiec.2011.01.004