Title :
Application of Adaptive Particle Swarm Optimization in Portfolio Selection
Author :
Zhang, Xinli ; Zhang, Kecun
Author_Institution :
Fac. of Sci., Xi´´an Jiaotong Univ., Xi´´an, China
Abstract :
In this paper, we present an asset allocation model and typical market imperfections such as short sale constraints, proportional transaction costs are considered simultaneously. Another, we use Conditional Value-at-Risk(CVaR) to control the corresponding risk. Also, We use Adaptive Particle Swarm Optimization (APSO) to solve the given model and numerical results show the suitability and promise of our methodology.
Keywords :
constraint theory; investment; particle swarm optimisation; adaptive particle swarm optimization; asset allocation model; conditional value-at-risk; market imperfections; portfolio selection; proportional transaction; short sale constraints; Costs; Investments; Marketing and sales; Numerical models; Particle swarm optimization; Portfolios; Stochastic processes; Testing; Tree data structures; Uncertainty;
Conference_Titel :
Information Science and Engineering (ICISE), 2009 1st International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4244-4909-5
DOI :
10.1109/ICISE.2009.323
