Portfolio Optimization Using Particle Swarms with Stripes

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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Main Author: Mario Villalobos Arias
Format: Article
Language:Spanish
Published: Universidad de Costa Rica 2011-04-01
Series:Revista de Matemática: Teoría y Aplicaciones
Online Access:https://revistas.ucr.ac.cr/index.php/matematica/article/view/301
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spelling 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 AT mariovillalobosarias portfoliooptimizationusingparticleswarmswithstripes
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