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A Mayfly algorithm for cardinality constrained portfolio optimization.
- Source :
-
Expert Systems with Applications . Nov2023, Vol. 230, pN.PAG-N.PAG. 1p. - Publication Year :
- 2023
-
Abstract
- Portfolio optimization is an essential issue in quantitative investing, which aims to find the best set of portfolios by allocating the proportion of assets. One of the most widely studied portfolio optimization models is the cardinality constrained mean–variance model, which incorporates real-world constraints on the number of selected assets and lower and upper bounds on the proportion of each asset. This paper presents a novel metaheuristic algorithm based on the Mayfly algorithm to solve the cardinality constrained mean–variance portfolio optimization problem. To better adapt to this problem, we design and introduce some new features to the proposed algorithm, including (1) a new cardinality constraint handling strategy; (2) a new local search strategy; and (3) changes to the crossover operator. We have designed comparison experiments for the proposed metaheuristic and evaluated its performance using five commonly used performance metrics. The experimental results show that the proposed approach achieves competitive performance on datasets of different sizes. The results also demonstrate the feasibility of this approach in solving the cardinality constrained mean–variance portfolio optimization problem. • The proposed algorithm is used for Cardinality Constrained Portfolio Optimization. • A fast cardinality constraint handling strategy. • A nuptial dance and bi-direction-based local search strategy. • Excellent comparison experimental results on benchmark from OR-Lib. [ABSTRACT FROM AUTHOR]
- Subjects :
- *PORTFOLIO management (Investments)
*METAHEURISTIC algorithms
*ALGORITHMS
Subjects
Details
- Language :
- English
- ISSN :
- 09574174
- Volume :
- 230
- Database :
- Academic Search Index
- Journal :
- Expert Systems with Applications
- Publication Type :
- Academic Journal
- Accession number :
- 164347116
- Full Text :
- https://doi.org/10.1016/j.eswa.2023.120656