PSO-3P for the portfolio optimisation problem

José Carlos Javier Velasco, Sergio Gerardo De-los-Cobos-Silva, Eric Alfredo Rincón-García, Miguel Ángel Gutiérrez-Andrade, Roman Anselmo Mora-Gutiérrez, Antonin Ponsich and Pedro Lara-Velázquez

International Journal of Business Continuity and Risk Management, 2018, vol. 8, issue 3, 219-231

Abstract: Identifying risks and opportunities in an investment is an important issue for investors. There are different strategies used to maximise profits and minimise the risk. However, some problems cannot be efficiently solved using classical techniques of operations research. Thus, heuristic approach seems to be a good option to find high quality solutions in a limited amount of time. We propose a new variant of particle swarm optimisation named PSO-3P to solve the constrained portfolio optimisation problem. The proposed algorithm was tested over five well-known benchmark data sets and the obtained results proved to be highly competitive since they outperform those reported in the specialised literature in almost all tackled instances.

Keywords: PSO; PSO-3P; portfolio optimisation; Markowitz model. (search for similar items in EconPapers)
Date: 2018
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