Large-Scale Portfolio Optimization Using Biogeography-Based Optimization
Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number of shares traded grows, the problem becomes d...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-10-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/11/4/125 |
| Summary: | Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number of shares traded grows, the problem becomes dimensionally very large. In this paper, we propose the usage of modified biogeography-based optimization to solve the large-scale constrained portfolio optimization. The results indicate the effectiveness of the method used. |
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| ISSN: | 2227-7072 |