Research on intelligent algorithms for solving portfolio problems

Investment is a behavior of coexistence of the benefits and risks. In the context of rich asset types, an effective investment portfolio can help investors obtain stable returns and diversify risks. In reality, portfolio problems often contain multiple constraints and objectives that cannot be effectively solved by traditional mathematical optimization methods. This paper proposes a hybrid beetle antennae search sine cosine algorithm based on non-linear inertia weight. Experiments are performed on five portfolio problem datasets in the real stock market. The results show that the proposed algorithm is effective and has some performance advantages in solving portfolio problems.

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Apie eksperimentinį investavimo strategijų tyrimą realiose ir virtualiose fi nansų rinkose

Informacijos mokslai ◽

10.15388/im.2013.0.2050 ◽

2013 ◽

Vol 65 ◽

pp. 103-110

Author(s):

Jonas Mockus ◽

Igor Katin ◽

Joana Katina

Keyword(s):

Mean Absolute Error ◽

Absolute Error ◽

Investment Strategies ◽

Individual Investor ◽

Investment Portfolio ◽

Acceptable Risk ◽

The Real ◽

Portfolio Problem ◽

The Mean

Darbo tikslas yra įvertinti įvairias investavimo strategijas pagal jų pelningumą realiose ir virtualiose fi nansų rinkose. Darbe aprašytas atnaujintas fi nansų rinkos modelis, analizuojami eksperimentinių skaičiavimų rezultatai. On the experimental investigation of investment strategies in the real and virtual fi nancial marketsJonas Mockus, Igor Katin, Joana Katina SummaryThe optimal fi nancial investment (Portfolio) problem was investigated by leading fi nancial organizations and scientists. The aim of these works was to defi ne the optimal diversifi cation of the assets depending on the acceptable risk level.The aim of the paper is to evaluate different investment strategies in the real and virtual fi nancial markets. This aim is the new element of the proposed simulation system since optimization is performed in the space of investment strategies; both daily and long-term. A number of different investment strategies are presented, including the ones based on the Modern Portfolio Theory (MPT).The simulated investment procedures include different prediction methods. The methods that minimize the mean absolute error (MAE) are added to the traditional ones that minimize the least squares error (MSE). The results of the virtual fi nancial market are compared with historical data.The model is designed as a tool to represent the behavior of an individual investor which wants to predict how the expected profi t depends on different investment strategies using different forecasting methods of real and virtual stocks.

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Turning an Asset-Liability Problem into an Investment Portfolio Problem

SSRN Electronic Journal ◽

10.2139/ssrn.2059974 ◽

2012 ◽

Author(s):

Yaniv Zaks ◽

Zinoviy Landsman

Keyword(s):

Investment Portfolio ◽

Portfolio Problem

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Media Coverage and The Stock Market: What Is the Real Cost of Congress?

SSRN Electronic Journal ◽

10.2139/ssrn.3251382 ◽

2018 ◽

Author(s):

Yosef Bonaparte

Keyword(s):

Stock Market ◽

Media Coverage ◽

The Real ◽

Real Cost

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Spectrum Allocation Based on Spider Monkey Optimization Algorithm with Nonlinear Inertia Weight and Sine-Cosine Algorithm

2020 IEEE 6th International Conference on Computer and Communications (ICCC) ◽

10.1109/iccc51575.2020.9345294 ◽

2020 ◽

Author(s):

Dexin Yin ◽

Damin Zhang

Keyword(s):

Optimization Algorithm ◽

Spectrum Allocation ◽

Spider Monkey ◽

Inertia Weight ◽

Sine Cosine Algorithm ◽

Spider Monkey Optimization

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Selection of an investment portfolio by means of multi-objective mathematical model applied to mexican stock market in period of debacle

5th International Conference on Computer Sciences and Convergence Information Technology ◽

10.1109/iccit.2010.5711080 ◽

2010 ◽

Author(s):

Jose Crispin Zavala-Diaz ◽

Jorge A Ruiz-Vanoye ◽

Ocotlan Diaz-Parra ◽

Joaquin Perez-Ortega

Keyword(s):

Mathematical Model ◽

Stock Market ◽

Investment Portfolio ◽

Multi Objective ◽

Selection Of

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A More Effective Formulation of the Path Generation Mechanism Synthesis Problem

23rd Biennial Mechanisms Conference: Mechanism Synthesis and Analysis ◽

10.1115/detc1994-0200 ◽

1994 ◽

Author(s):

Irfan Ullah ◽

Sridhar Kota

Keyword(s):

Objective Function ◽

Error Function ◽

Mathematical Optimization ◽

Optimization Methods ◽

Complex Nature ◽

Mechanism Synthesis ◽

Structural Error ◽

Crank Angle ◽

The Common ◽

Selection Of

Abstract Use of mathematical optimization methods for synthesis of path-generating mechanisms has had only limited success due to the very complex nature of the commonly used Structural Error objective function. The complexity arises, in part, because the objective function represents not only the error in the shape of the coupler curve, but also the error in location, orientation and size of the curve. Furthermore, the common introduction of timing (or crank angle), done generally to facilitate selection of corresponding points on the curve for calculating structural error, has little practical value and unnecessarily limits possible solutions. This paper proposes a new objective function, based on Fourier Descriptors, which allows search for coupler curve of the desired shape without reference to location, orientation, or size. The proposed objective function compares overall shape properties of curves rather than making point-by-point comparison and therefore does not requires prescription of timing. Experimental evidence is provided to show that it is much easier to search the space of the proposed objective function compared to the structural error function.

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Optimal Design of Composite Lightweight Rollers

19th Design Automation Conference: Volume 2 — Design Optimization; Geometric Modeling and Tolerance Analysis; Mechanism Synthesis and Analysis; Decomposition and Design Optimization ◽

10.1115/detc1993-0386 ◽

1993 ◽

Author(s):

K. Bellendir ◽

Hans A. Eschenauer

Keyword(s):

Structural Analysis ◽

Shell Theory ◽

Analytical Procedure ◽

Mathematical Optimization ◽

Optimization Methods ◽

Analysis Procedure ◽

Various Boundary Conditions ◽

Evaluation Models ◽

Laminate Theory ◽

Static Behaviour

Abstract A well-aimed layout of fibre-reinforced lightweight rollers does not only require an efficient structural analysis procedure but also the application of structural optimization methods. Therefore, an analytical procedure is introduced for the calculation of the static behaviour of cylindrical shells subject to axisymmetric and/or nonaxisymmetric loads. In the scope of this procedure, arbitrary, unsymmetrical laminates as well as various boundary conditions will be considered. Basis is the shell theory by Flügge enhanced by anisotropic constitutive equations (material law) in the scope of the classical laminate theory. By means of mathematical optimization procedures we then determine optimal lightweight rollers, using different design and evaluation models. For that purpose, coated and uncoated roller constructions as well as hybrid types made of CFRP/GFRP will be applied. Concluding, we will discuss possible improvements and advantages of anisotropic lightweight rollers in contrast to isotropic ones made of steel or aluminium.

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