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Portfolio Optimization by Using Birds Flight Algorithm

Author

Listed:
  • Fatemeh Khaleghi Meybodi
  • Hassan Dehghan Denavi
  • Abolfazl Sadeghian

Abstract

Markowitz optimization problem so determination of investment efficient set, while the number of investable assets and constraints in the market is low can be solved by mathematical models. But when real-world conditions and limitations to be considered, portfolio optimization problem cannot solve easily using a methods of mathematics. For this reason, portfolio optimization using evolutionary algorithms has been an important topic of discussion today. The main objective of the present study is the solving of portfolio optimization problem (mean – variance model) by using Particle Swarm Optimization (PSO). for this purpose by use the price of 40 accepted shares in stock during the 1385 till 1390 years, is plotted the investment efficient set. Results from this study show that particle Swarm optimization method in portfolio optimization, despite the current limitations is successful.

Suggested Citation

  • Fatemeh Khaleghi Meybodi & Hassan Dehghan Denavi & Abolfazl Sadeghian, 2014. "Portfolio Optimization by Using Birds Flight Algorithm," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 334-342, April.
    • Handle: RePEc:hur:ijaraf:v:4:y:2014:i:2:p:334-342
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    References listed on IDEAS

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    1. Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
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