Sun, Jun, Fang, Wei, Wu, Xiaojun, Lai, Choi-Hong ORCID: 0000-0002-7558-6398 and Xu, Wenbo (2011) Solving the multi-stage portfolio optimization problem with a novel particle swarm optimization. Expert Systems with Applications, 38 (6). pp. 6727-6735. ISSN 0957-4174 (online) (doi:https://doi.org/10.1016/j.eswa.2010.11.061)

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Abstract

Solving the multi-stage portfolio optimization (MSPO) problem is very challenging due to nonlinearity of the problem and its high consumption of computational time. Many heuristic methods have been employed to tackle the problem. In this paper, we propose a novel variant of particle swarm optimization (PSO), called drift particle swarm optimization (DPSO), and apply it to the MSPO problem solving. The classical return-variance function is employed as the objective function, and experiments on the problems with different numbers of stages are conducted by using sample data from various stocks in S&P 100 index. We compare performance and effectiveness of DPSO, particle swarm optimization (PSO), genetic algorithm (GA) and two classical optimization solvers (LOQO and CPLEX), in terms of efficient frontiers, fitness values, convergence rates and computational time consumption. The experiment results show that DPSO is more efficient and effective in MSPO problem solving than other tested optimization tools.

Item Type:	Article
Uncontrolled Keywords:	risk management, multi-stage portfolio optimization, stochastic programming, heuristic methods, particle swarm optimization
Subjects:	Q Science > Q Science (General) Q Science > QA Mathematics
Pre-2014 Departments:	School of Computing & Mathematical Sciences School of Computing & Mathematical Sciences > Department of Computer Science
Related URLs:	Organisation Publisher
Last Modified:	14 Oct 2016 09:18
URI:	http://gala.gre.ac.uk/id/eprint/7511

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