Title :
An improved multi-objective particle swarm optimization for constrained portfolio selection model
Author :
Jianli Zhou ; Jun Li
Author_Institution :
Sch. of Manage. & Econ., Univ. of Electron. Sci. & Technol. of China, Chengdu, China
Abstract :
This paper addresses the constrained multi-objective portfolio election model for investors by studying three criteria: return, risk, and liquidity. The return rates of securities are assumed to be random variables, the covariances of the return rates of portfolio are adopted to measure the risk and the turnover rates of portfolio are assumed to be fuzzy numbers to measure the liquidity. Then, an improved multi-objective particle swarm algorithm is designed to get a group of non-dominated solutions of the proposed constrained multi-objective portfolio selection model. Finally, a numerical example is also presented to illustrate this algorithm can get a better distribution of solutions.
Keywords :
fuzzy set theory; investment; number theory; numerical analysis; particle swarm optimisation; risk management; constrained multiobjective portfolio selection model; fuzzy numbers; improved multiobjective particle swarm optimization; liquidity criteria; liquidity measurement; portfolio turnover rates; random variables; return criteria; return rates-of-portfolio covariance; return rates-of-securities; risk criteria; risk measurement; Algorithm design and analysis; Heuristic algorithms; Numerical models; Particle swarm optimization; Portfolios; Security; liquidity; multi-objective portfolio selection; particle swarm algorithm;
Conference_Titel :
Service Systems and Service Management (ICSSSM), 2014 11th International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-1-4799-3133-0
DOI :
10.1109/ICSSSM.2014.6874155