University Links: Home Page | Site Map
Covenant University Repository

Improved Constrained Portfolio Selection Model using Particle Swarm Optimization

Adebiyi, A. A. and Ayo, C. K. (2015) Improved Constrained Portfolio Selection Model using Particle Swarm Optimization. Indian Journal of Science and Technology,, 8 (31). pp. 1-8. ISSN (Print) : 0974-6846 (Online) : 0974-5645

[img] PDF
Download (288Kb)

Abstract

Objective: The main objective of this study is to improve the extended Markowitz mean-variance portfolio selection model by introducing a new constraint known as expert opinion practicable for portfolio selection in real-life situation. Methods: This new extended model consists of four constraints namely: bounds on holdings, cardinality, minimum transaction lots, and expert opinion. The first three constraints have been presented in other researches in literature. The fourth constraint introduced in this study is an essential parameter in making and guiding a realistic portfolio selection. To solve this new extended model an efficient heuristic method of Particle Swarm Optimization (PSO) was engaged with existing benchmark data in the literature. Results: The outcome of the computational results obtained in this study with the new extended Markowitz mean-variance portfolio selection model proposed in this study and solved with PSO showed an improved performance over existing algorithm in particular GA in different instances of the data set used. Conclusion: The study evolves a new extended portfolio selection model and the findings d

Item Type: Article
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Engineering, Science and Mathematics > School of Electronics and Computer Science
Depositing User: Mr Adewole Adewumi
Date Deposited: 02 Mar 2016 13:26
Last Modified: 02 Mar 2016 13:26
URI: http://eprints.covenantuniversity.edu.ng/id/eprint/6323

Actions (login required)

View Item View Item