Comparison of particle swarm optimization and tabu search algorithms for portfolio selection problem

Subject Areas : Statistics

M.  Kazemi ¹ (Department of Mathematics, University of Payame Noor, Iran)
A.  Heidari ² (Department of Mathematics, University of Payame Noor, Iran)
M.  Lashkary ³ (Department of Economics, University of Payame Noor, Iran)

Received: 2017-03-30 Accepted : 2017-06-02 Published : 2017-02-01

Keywords: پورتفولیو (سبد دارایی), الگوریتم بهینه‌سازی ازدحام ذرا, الگوریتم جستجوی ممنوعه(TS),

Abstract :

Using Metaheuristics models and Evolutionary Algorithms for solving portfolio problem has been considered in recent years.In this study, by using particles swarm optimization and tabu search algorithms we optimized two-sided risk measures . A standard exact penalty function transforms the considered portfolio selection problem into an equivalent unconstrained minimization problem. And in finally the historical data from s&p100 from years 2007 through 2009 is used as model input and then the model was solved and these algorithms were compared.