Heuristics for cardinality constrained portfolio optimisation
Computers and Operations Research
Local Search Techniques for Constrained Portfolio SelectionProblems
Computational Economics
Particle swarm optimization: an introduction and its recent developments
Proceedings of the 9th annual conference companion on Genetic and evolutionary computation
An Improved Particle Swarm Algorithm for Solving Nonlinear Constrained Optimization Problems
ICNC '07 Proceedings of the Third International Conference on Natural Computation - Volume 04
Improved Particle Swarm Optimization for Realistic Portfolio Selection
SNPD '07 Proceedings of the Eighth ACIS International Conference on Software Engineering, Artificial Intelligence, Networking, and Parallel/Distributed Computing - Volume 01
Expert Systems with Applications: An International Journal
Portfolio algorithm based on portfolio beta using genetic algorithm
Expert Systems with Applications: An International Journal
Handling multiple objectives with particle swarm optimization
IEEE Transactions on Evolutionary Computation
Multiobjective Evolutionary Algorithms for Portfolio Management: A comprehensive literature review
Expert Systems with Applications: An International Journal
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Information Sciences: an International Journal
A hybrid algorithm for constrained portfolio selection problems
Applied Intelligence
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This paper presents a novel heuristic method for solving an extended Markowitz mean-variance portfolio selection model. The extended model includes four sets of constraints: bounds on holdings, cardinality, minimum transaction lots and sector (or market/class) capitalization constraints. The first set of constraints guarantee that the amount invested (if any) in each asset is between its predetermined upper and lower bounds. The cardinality constraint ensures that the total number of assets selected in the portfolio is equal to a predefined number. The sector capitalization constraints reflect the investors' tendency to invest in sectors with higher market capitalization value to reduce their risk of investment. The extended model is classified as a quadratic mixed-integer programming model necessitating the use of efficient heuristics to find the solution. In this paper, we propose a heuristic based on Particle Swarm Optimization (PSO) method. The proposed approach is compared with the Genetic Algorithm (GA). The computational results show that the proposed PSO effectively outperforms GA especially in large-scale problems.