On the performance and convergence properties of hybrid intelligent schemes: application on portfolio optimization domain

Authors:
Vassilios Vassiliadis;Nikolaos Thomaidis;George Dounias
Affiliations:
-;-;-
Venue:
EvoApplications'11 Proceedings of the 2011 international conference on Applications of evolutionary computation - Volume Part II
Year:
2011

Citing 2
Cited 1

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Abstract

Hybrid intelligent algorithms, especially those who combine natureinspired techniques, are well known for their searching abilities in complex problem domains and their performance. One of their main characteristic is that they manage to escape getting trapped in local optima. In this study, two hybrid intelligent schemes are compared both in terms of performance and convergence ability in a complex financial problem. Particularly, both algorithms use a type of genetic algorithm for asset selection and they differ on the technique applied for weight optimization: the first hybrid uses a numerical function optimization method, while the second one uses a continuous ant colony optimization algorithm. Results indicate that there is great potential in combining characteristics of natureinspired algorithms in order to solve NP-hard optimization problems.