DSpace
 

iRepository at Perpustakaan UniMAP >
Journal Articles >
School of Electrical Systems Engineering (Articles) >

Please use this identifier to cite or link to this item: http://dspace.unimap.edu.my:80/xmlui/handle/123456789/14027

Title: A hybrid particle swarm optimization approach and its application to solving portfolio selection problems
Authors: Shamshul Bahar, Yaakob, Prof. Madya
Watada, Junzo
???metadata.dc.contributor.url???: shamshul@fuji.waseda.jp
Keywords: Genetic algorithm;Hybrid particle swarm optimization;Modern portfolio theory;Particle swarm optimization
Issue Date: Jun-2011
Publisher: Fuji Technology Press
Citation: Journal of Advanced Computational Intelligence and Intelligent Informatics, vol. 15 (4), 2011, pages 473-478
Abstract: In modern portfolio theory, the basic topic is how to construct a diversified portfolio of financial securities to improve trade-offs between risk and return. The objective of this paper is to apply a heuristic algorithm using Particle Swarm Optimization (PSO) to the portfolio selection problem. PSO makes the search algorithm efficient by combining a local search method through self-experience with the global search method through neighboring experience. PSO attempts to balance the exploration-exploitation tradeoff that achieves efficiency and accuracy of optimization. In this paper, a newly obtained approach is proposed by making simple modifications to the standard PSO: the velocity is controlled and the mutation operator of Genetic Algorithms (GA) is added to solve a stagnation problem. Our adaptation and implementation of the PSO search strategy are applied to portfolio selection. Results of typical applications demonstrate that the Velocity Control Hybrid PSO (VC-HPSO) proposed in this study effectively finds optimum solution to portfolio selection problems. Results also show that our proposedmethod is a viable approach to portfolio selection.
Description: Link to publisher's homepage at http://www.fujipress.jp/
URI: http://www.fujipress.jp/finder/xslt.php?mode=present&inputfile=JACII001500040011.xml
http://hdl.handle.net/123456789/14027
ISSN: 1343-0130
Appears in Collections:School of Electrical Systems Engineering (Articles)

Files in This Item:

File Description SizeFormat
hybrid.pdf53.52 kBAdobe PDFView/Open
View Statistics

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! Perpustakaan Tuanku syed Faizuddin Putra, Kampus Pauh Putra, Universiti Malaysia Perlis, 02600, Arau Perlis
TEL: +604-9885420 | FAX: +604-9885405 | EMAIL: rujukan@unimap.edu.my Feedback