Large-Scale Portfolio Optimization Using Biogeography-Based Optimization

Wendy Wijaya () and Kuntjoro Adji Sidarto
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Wendy Wijaya: Department of Mathematics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Ganesa Street No. 10, Bandung 40132, Indonesia
Kuntjoro Adji Sidarto: Department of Mathematics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Ganesa Street No. 10, Bandung 40132, Indonesia

IJFS, 2023, vol. 11, issue 4, 1-16

Abstract: Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number of shares traded grows, the problem becomes dimensionally very large. In this paper, we propose the usage of modified biogeography-based optimization to solve the large-scale constrained portfolio optimization. The results indicate the effectiveness of the method used.

Keywords: biogeography-based optimization; constrained optimization; mean-variance model (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2023
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