Portfolio Optimization Using Particle Swarms with Stripes
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)...
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Universidad de Costa Rica
2011-04-01
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Online Access: | https://revistas.ucr.ac.cr/index.php/matematica/article/view/301 |
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doaj-2229a4bb912f4aee942ff206bf3026682020-11-25T00:51:37ZspaUniversidad de Costa RicaRevista de Matemática: Teoría y Aplicaciones2215-33732011-04-0116220522010.15517/rmta.v16i2.301286Portfolio Optimization Using Particle Swarms with StripesMario Villalobos Arias0Universidad de Costa Rica, Escuela de MatematicaIn 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.https://revistas.ucr.ac.cr/index.php/matematica/article/view/301 |
collection |
DOAJ |
language |
Spanish |
format |
Article |
sources |
DOAJ |
author |
Mario Villalobos Arias |
spellingShingle |
Mario Villalobos Arias Portfolio Optimization Using Particle Swarms with Stripes Revista de Matemática: Teoría y Aplicaciones |
author_facet |
Mario Villalobos Arias |
author_sort |
Mario Villalobos Arias |
title |
Portfolio Optimization Using Particle Swarms with Stripes |
title_short |
Portfolio Optimization Using Particle Swarms with Stripes |
title_full |
Portfolio Optimization Using Particle Swarms with Stripes |
title_fullStr |
Portfolio Optimization Using Particle Swarms with Stripes |
title_full_unstemmed |
Portfolio Optimization Using Particle Swarms with Stripes |
title_sort |
portfolio optimization using particle swarms with stripes |
publisher |
Universidad de Costa Rica |
series |
Revista de Matemática: Teoría y Aplicaciones |
issn |
2215-3373 |
publishDate |
2011-04-01 |
description |
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. |
url |
https://revistas.ucr.ac.cr/index.php/matematica/article/view/301 |
work_keys_str_mv |
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