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 |
| _version_ | 1827384375770087424 |
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| author | Wendy Wijaya Kuntjoro Adji Sidarto |
| author_facet | Wendy Wijaya Kuntjoro Adji Sidarto |
| author_sort | Wendy Wijaya |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T14:54:41Z |
| format | Article |
| id | doaj.art-c0b891b1d15649e781bc1baf1840072f |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-03-08T14:54:41Z |
| publishDate | 2023-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-c0b891b1d15649e781bc1baf1840072f2024-01-10T17:49:15ZengMDPI AGInternational Journal of Financial Studies2227-70722023-10-0111412510.3390/ijfs11040125Large-Scale Portfolio Optimization Using Biogeography-Based OptimizationWendy Wijaya0Kuntjoro Adji Sidarto1Department of Mathematics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Ganesa Street No. 10, Bandung 40132, IndonesiaDepartment of Mathematics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Ganesa Street No. 10, Bandung 40132, IndonesiaPortfolio 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.https://www.mdpi.com/2227-7072/11/4/125biogeography-based optimizationconstrained optimizationmean-variance model |
| spellingShingle | Wendy Wijaya Kuntjoro Adji Sidarto Large-Scale Portfolio Optimization Using Biogeography-Based Optimization International Journal of Financial Studies biogeography-based optimization constrained optimization mean-variance model |
| title | Large-Scale Portfolio Optimization Using Biogeography-Based Optimization |
| title_full | Large-Scale Portfolio Optimization Using Biogeography-Based Optimization |
| title_fullStr | Large-Scale Portfolio Optimization Using Biogeography-Based Optimization |
| title_full_unstemmed | Large-Scale Portfolio Optimization Using Biogeography-Based Optimization |
| title_short | Large-Scale Portfolio Optimization Using Biogeography-Based Optimization |
| title_sort | large scale portfolio optimization using biogeography based optimization |
| topic | biogeography-based optimization constrained optimization mean-variance model |
| url | https://www.mdpi.com/2227-7072/11/4/125 |
| work_keys_str_mv | AT wendywijaya largescaleportfoliooptimizationusingbiogeographybasedoptimization AT kuntjoroadjisidarto largescaleportfoliooptimizationusingbiogeographybasedoptimization |