Comparison of particle swarm optimization and tabu search algorithms for portfolio selection problem
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Abstract:
Using Metaheuristics models and Evolutionary Algorithms for solving portfolio problem has been considered in recent years.In this study, by using particles swarm optimization and tabu search algorithms we optimized two-sided risk measures . A standard exact penalty function transforms the considered portfolio selection problem into an equivalent unconstrained minimization problem. And in finally the historical data from s&p100 from years 2007 through 2009 is used as model input and then the model was solved and these algorithms were compared.
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Journal title
volume 3 issue 9
pages 97- 102
publication date 2017-02-01
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