DocumentCode
2207940
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
fYear
2009
fDate
26-28 Dec. 2009
Firstpage
3977
Lastpage
3980
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Science and Engineering (ICISE), 2009 1st International Conference on
Conference_Location
Nanjing
Print_ISBN
978-1-4244-4909-5
Type
conf
DOI
10.1109/ICISE.2009.323
Filename
5454527
Link To Document