Keywords
particle swarm optimization
multiobjetive
optimization
Optimización de portafolios
optimización por enjambre de partículas
multiobjetivo
optimización
How to Cite
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.
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