applying Imperialist competitive algorithm (ICA) for construction and optimization Portfolio

Subject Areas : Journal of Investment Knowledge

Ali  Morovati Sharifabadi ¹ (Assistant of Professor of manegment . University of yazd)
Shirin  Azizi ² (M.A of industrial manegment)
Nastaran  Ahmadi ³ (M.A of financial manegment)

Received: 2014-09-01 Accepted : 2014-12-11 Published : 2014-12-11

Keywords: portfolio optimization, Imperialist Competitive Algori, Average - Variance model,

Abstract :

Markowitz optimization problem and determining Efficient frontier of investment  when the number of asset invested and restrictions on the market is low, is solvable with mathematical models. But when the real world restrictions is considered , the portfolio problems cannot be easily solved with mathematical methods. For this reason, the use of innovative techniques such as neural networks, genetic and evolutionary algorithms in optimizing Algorithm portfolio is one of the main topics of discussion in recent times. The main goal of this research is to solve the portfolio optimization problem using optimization Imperialist competitive algorithm. Therefore, using price data of 30 stocks in all listed Automotive parts in the Tehran Stock Exchange from farvardin 1388 to shahrivar 1390, the graphs are plotted. Results of this study show that the optimization Imperialist competitive algorithm in the formed of a portfolio will be successful.