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.
引用
收藏
页数：12
相关论文
共 50 条
  • [31] Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach
    Celikyurt, U.
    Ozekici, S.
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2007, 179 (01) : 186 - 202
  • [32] MEAN-VARIANCE PORTFOLIO OPTIMIZATION WHEN MEANS AND COVARIANCES ARE UNKNOWN
    Lai, Tze Leung
    Xing, Haipeng
    Chen, Zehao
    ANNALS OF APPLIED STATISTICS, 2011, 5 (2A): : 798 - 823
  • [33] Ant Colony Optimization for Markowitz Mean-Variance Portfolio Model
    Deng, Guang-Feng
    Lin, Woo-Tsong
    SWARM, EVOLUTIONARY, AND MEMETIC COMPUTING, 2010, 6466 : 238 - 245
  • [34] Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
    Zhang, Caibin
    Liang, Zhibin
    STOCHASTIC MODELS, 2023, 39 (04) : 741 - 771
  • [35] The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm
    Chen, Bili
    Lin, Yangbin
    Zeng, Wenhua
    Xu, Hang
    Zhang, Defu
    APPLIED INTELLIGENCE, 2017, 47 (02) : 505 - 525
  • [36] A new method for mean-variance portfolio optimization with cardinality constraints
    Francesco Cesarone
    Andrea Scozzari
    Fabio Tardella
    Annals of Operations Research, 2013, 205 : 213 - 234
  • [37] Nonconvex multi-period mean-variance portfolio optimization
    Zhongming Wu
    Guoyu Xie
    Zhili Ge
    Valentina De Simone
    Annals of Operations Research, 2024, 332 : 617 - 644
  • [38] Nonconvex multi-period mean-variance portfolio optimization
    Wu, Zhongming
    Xie, Guoyu
    Ge, Zhili
    De Simone, Valentina
    ANNALS OF OPERATIONS RESEARCH, 2024, 332 (1-3) : 617 - 644
  • [39] A new method for mean-variance portfolio optimization with cardinality constraints
    Cesarone, Francesco
    Scozzari, Andrea
    Tardella, Fabio
    ANNALS OF OPERATIONS RESEARCH, 2013, 205 (01) : 213 - 234
  • [40] The mean-variance approach to portfolio optimization subject to transaction costs
    Yoshimoto, A
    JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN, 1996, 39 (01) : 99 - 117
12345