Revista de Matemática: Teoría y Aplicaciones ISSN Impreso: 1409-2433 ISSN electrónico: 2215-3373

OAI: https://revistas.ucr.ac.cr/index.php/matematica/oai
Portfolio Optimization Using Particle Swarms with Stripes
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Keywords

Portfolio optimization
particle swarm optimization
multiobjetive
optimization
Optimización de portafolios
optimización por enjambre de partículas
multiobjetivo
optimización

How to Cite

Villalobos-Arias, M. (2009). Portfolio Optimization Using Particle Swarms with Stripes. Revista De Matemática: Teoría Y Aplicaciones, 16(2), 205–220. https://doi.org/10.15517/rmta.v16i2.301

Abstract

In this paper it is consider the Portfolio Optimization Problem developed by Markowitz [11]. The basic assumption is that the investor tries to maximize his/her profit and at the same time, wants to minimize the risk. This problem is usually solved using a scalarization approach (with one objective). Here it is solved it as a bi-objective  optimization problem. It uses a new version of the algorithm of Particle Swarm Optimization for Multi-Objective Problems to which it implemented a method of the stripes to improve dispersion.

https://doi.org/10.15517/rmta.v16i2.301
PDF (Español (España))

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