NDLI: Portfolio optimization using improved artificial bee colony approach

Content Provider	IEEE Xplore Digital Library
Author	Chen, A.H.L. Yun-Chia Liang Chia-Chien Liu
Copyright Year	2013
Description	Author affiliation: Dept. of Marketing & Distrib., Taoyuan Innovation Inst. of Technol., Taoyuan, Taiwan (Chen, A.H.L.) \|\| Dept. of Ind. Eng. & Manage., Yuan Ze Univ., Taoyuan, Taiwan (Yun-Chia Liang; Chia-Chien Liu)
Abstract	Nature-inspired optimization methods have been known to have the capability of handling computationally complicated problems, especially when traditional methods have become insufficient to. In this work, we proposed an improved artificial bee colony (IABC) method as the solution approach to trace out an efficiency frontier of the general portfolio performance. Such portfolio optimization problem focuses on balancing the trade-off between risk and return and is also captured in multidimensional nature with cardinality and bounding constraints. The proposed IABC algorithm intends to balance the diversity and quality of solutions, and fulfill the characteristic of the portfolio optimization problem. To do so, we employ a hybrid encoding that mixes integer and real variables in the IABC algorithm, and test its performance on four global stock market indices from the OR-Library. In addition, computational results are compared among four other algorithms. Evidences indicate that IABC performs the best in terms of diversity, convergence, and effectiveness among all four test data sets. The effect of choosing different number of stocks to form a portfolio is also investigated. The results confirm that less number of stocks selected in a portfolio can help to build a better efficiency frontier with lower risk and higher return more quickly.
Starting Page	60
Ending Page	67
File Size	320902
Page Count	8
File Format	PDF
ISBN	9781467359214
DOI	10.1109/CIFEr.2013.6611698
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2013-04-16
Publisher Place	Singapore
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Portfolios Algorithm design and analysis Equations Mathematical model Optimization Stock markets Approximation algorithms Metaheuristic Portfolio Optimization Artificial Bee Colony
Content Type	Text
Resource Type	Article

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