Portfolio Optimization Using Particle Swarms with Stripes

In this paper it is consider the Portfolio Optimization Problem developed by Markowitz [11]. The basic assumption is that the investor tries to maximize his/her profit and at the same time, wants to minimize the risk. This problem is usually solved using a scalarization approach (with one objective)...

Full description

Main Author: Villalobos Arias, Mario
Format: Artículo
Language: Español
Published: 2015
Online Access: http://revistas.ucr.ac.cr/index.php/matematica/article/view/301
http://hdl.handle.net/10669/12958
Summary: In this paper it is consider the Portfolio Optimization Problem developed by Markowitz [11]. The basic assumption is that the investor tries to maximize his/her profit and at the same time, wants to minimize the risk. This problem is usually solved using a scalarization approach (with one objective). Here it is solved it as a bi-objective  optimization problem. It uses a new version of the algorithm of Particle Swarm Optimization for Multi-Objective Problems to which it implemented a method of the stripes to improve dispersion.