Portfolio Optimization Using Particle Swarm Optimization and Genetic Algorithm

Volume 10, Issue 2, pp 85-90 http://dx.doi.org/10.22436/jmcs.010.02.01

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Authors

Samira Kamali - Abadan branch, Islamic Azad University, Abadan, Iran.

Abstract

This study basically employs the Markowitz mean–variance model for portfolio selection problem. Since this model is classified as a quadratic programming model there is not any efficient algorithm to solve it. The goal of this study is to find a feasible portfolio with a minimum risk through the application of heuristic algorithm. The two PSO and GA algorithm has been used. The results show that PSO approach is suitable in portfolio optimization.

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Keywords

• Portfolio optimization
• Particle Swarm Optimization
• Generic Algorithm.

MSC

•  91G10
•  68T20

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