Quande Qin
A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints
Qin, Quande; Li, Li; Cheng, Shi
Abstract
In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and propose a mean-CVaR portfolio selection model. In addition, some real-world constraints are considered. The constructed model is a non-linear discrete optimization problem and difficult to solve by the classic optimization techniques. A novel hybrid algorithm based particle swarm optimization (PSO) and artificial bee colony (ABC) is designed for this problem. The hybrid algorithm introduces the ABC operator into PSO. A numerical example is given to illustrate the modeling idea of the paper and the effectiveness of the proposed hybrid algorithm.
Citation
Qin, Q., Li, L., & Cheng, S. (2014). A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints. Lecture Notes in Artificial Intelligence, 8795, https://doi.org/10.1007/978-3-319-11897-0_38
Journal Article Type | Article |
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Acceptance Date | Jan 1, 2014 |
Publication Date | Sep 23, 2014 |
Deposit Date | Oct 25, 2017 |
Journal | Lecture Notes in Computer Science |
Electronic ISSN | 0302-9743 |
Publisher | Springer Verlag |
Peer Reviewed | Peer Reviewed |
Volume | 8795 |
Book Title | Advances in Swarm Intelligence |
DOI | https://doi.org/10.1007/978-3-319-11897-0_38 |
Keywords | Conditional Value at Risk; CVaR; Hybrid algorithm; Port- folio selection |
Public URL | https://nottingham-repository.worktribe.com/output/735449 |
Publisher URL | https://link.springer.com/chapter/10.1007%2F978-3-319-11897-0_38 |
Additional Information | The final publication is available at Springer via http://dx.doi.org/10.1007/978-3-319-11897-0_38 |
Contract Date | Oct 25, 2017 |