Application of Adaptive Particle Swarm Optimization in Portfolio Selection

@article{Zhang2009ApplicationOA,
  title={Application of Adaptive Particle Swarm Optimization in Portfolio Selection},
  author={Xinli Zhang and Kecun Zhang},
  journal={2009 First International Conference on Information Science and Engineering},
  year={2009},
  pages={3977-3980}
}
In this paper, we present an asset allocation model and typical market imperfections such as short sale constraints, proportional transaction costs are considered simultaneously. Another, we use Conditional Value-at-Risk(CVaR) to control the corresponding risk. Also, We use Adaptive Particle Swarm Optimization (APSO) to solve the given model and numerical… CONTINUE READING