A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints
The focus of this paper is on standard Markowitz mean–variance model and its traditional approach to solve portfolio selection problem (Quadratic Planning). For this goal we have applied a meta-heuristic method based on genetic algorithms (GA) in order to trace out the efficient frontier associated...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
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Tarbiat Modares University
2008-01-01
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| Series: | پژوهشهای اقتصادی |
| Subjects: | |
| Online Access: | http://ecor.modares.ac.ir/article-18-273-en.pdf |
| _version_ | 1797803191597793280 |
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| author | mohammad taghi Taqavi Fard taha Mansouri mohsen Khosh Tinat |
| author_facet | mohammad taghi Taqavi Fard taha Mansouri mohsen Khosh Tinat |
| author_sort | mohammad taghi Taqavi Fard |
| collection | DOAJ |
| description | The focus of this paper is on standard Markowitz mean–variance model and its traditional approach to solve portfolio selection problem (Quadratic Planning). For this goal we have applied a meta-heuristic method based on genetic algorithms (GA) in order to trace out the efficient frontier associated with the portfolio selection problem under cardinality and bounding constraints. These constraints ensure the investment in a given number of different assets and limit the amount of capital to be invested in each asset. We have presented some experimental results in two samples from Iranian stock market and overseas ones and compare the GA result with unconstrained quadratic results. Finally, we have found out which proposed GA can optimize portfolio selection problem under cardinality and bounded constrains |
| first_indexed | 2024-03-13T05:17:10Z |
| format | Article |
| id | doaj.art-69406c82219d42ce8d56819c05ac3dc7 |
| institution | Directory Open Access Journal |
| issn | 1735-6768 2980-7832 |
| language | fas |
| last_indexed | 2024-03-13T05:17:10Z |
| publishDate | 2008-01-01 |
| publisher | Tarbiat Modares University |
| record_format | Article |
| series | پژوهشهای اقتصادی |
| spelling | doaj.art-69406c82219d42ce8d56819c05ac3dc72023-06-15T20:31:37ZfasTarbiat Modares Universityپژوهشهای اقتصادی1735-67682980-78322008-01-01744969A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraintsmohammad taghi Taqavi Fard0taha Mansouri1mohsen Khosh Tinat2 allame university allame univarsity allame university The focus of this paper is on standard Markowitz mean–variance model and its traditional approach to solve portfolio selection problem (Quadratic Planning). For this goal we have applied a meta-heuristic method based on genetic algorithms (GA) in order to trace out the efficient frontier associated with the portfolio selection problem under cardinality and bounding constraints. These constraints ensure the investment in a given number of different assets and limit the amount of capital to be invested in each asset. We have presented some experimental results in two samples from Iranian stock market and overseas ones and compare the GA result with unconstrained quadratic results. Finally, we have found out which proposed GA can optimize portfolio selection problem under cardinality and bounded constrainshttp://ecor.modares.ac.ir/article-18-273-en.pdfmarkowitz mean–variance modelefficient frontierquadratic planningcardinality constrainsgenetic algorithm |
| spellingShingle | mohammad taghi Taqavi Fard taha Mansouri mohsen Khosh Tinat A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints پژوهشهای اقتصادی markowitz mean–variance model efficient frontier quadratic planning cardinality constrains genetic algorithm |
| title | A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints |
| title_full | A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints |
| title_fullStr | A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints |
| title_full_unstemmed | A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints |
| title_short | A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints |
| title_sort | meta heuristic algorithm for portfolio selection problem under cardinality and bounding constraints |
| topic | markowitz mean–variance model efficient frontier quadratic planning cardinality constrains genetic algorithm |
| url | http://ecor.modares.ac.ir/article-18-273-en.pdf |
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