Solving Constrained Mean-Variance Portfolio Optimization Problems Using Spiral Optimization Algorithm

被引：2
|
作者：
Febrianti, Werry [1 ,2 ]
Sidarto, Kuntjoro Adji [1 ]
Sumarti, Novriana [1 ]
机构：
[1] Inst Teknol Bandung, Fac Math & Nat Sci, Dept Math, Ganesa St 10, Bandung 40132, Indonesia
[2] Inst Teknol Sumatera, Dept Sci, Math, Terusan Ryacudu St,Way Huwi, South Lampung 35365, Indonesia
来源：
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES | 2023年 / 11卷 / 01期
关键词：
constrained portfolio optimization; mixed integer nonlinear programming; spiral optimization algorithm;
D O I：
10.3390/ijfs11010001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints. This model can be formulated as a mixed integer nonlinear programming (MINLP) problem. To solve this constrained mean-variance portfolio optimization problem, we propose the use of a modified spiral optimization algorithm (SOA). Then, we use Bartholomew-Biggs and Kane's data to validate our proposed algorithm. The results show that our proposed algorithm can be an efficient tool for solving this portfolio optimization problem.
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收藏
页数：12
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