publication . Article . 2018

Particle swarm optimization algorithm for mean-variance portfolio optimization: A case study of Istanbul Stock Exchange

AKYER, Hasan; KALAYCI, Can Berk; AYGÖREN, Hakan;
Open Access Turkish
  • Published: 27 Feb 2018
  • Publisher: Pamukkale Üniversitesi
Abstract
Whileinvestors used to create their portfolios according to traditional portfoliotheory in the past, today modern portfolio approach is widely preferred. Thebasis of the modern portfolio theory was suggested by Harry Markowitz with themean variance model. A greater number of securities in a portfolio is difficultto manage and has an increased transaction cost. Therefore, the number ofsecurities in the portfolio should be restricted. The problem of portfoliooptimization with cardinality constraints is NP-Hard. Meta-heuristic methodsare generally preferred to solve since problems in this class are difficult tobe solved with exact solution algorithms within accepta...
Subjects
free text keywords: Portfolio optimization,Mean-variance model,Heuristic methods,Particle swarm optimization, Portföy optimizasyonu,Ortalama-varyans modeli,Sezgisel metotlar,Parçacık sürü optimizasyonu.
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue
publication . Article . 2018

Particle swarm optimization algorithm for mean-variance portfolio optimization: A case study of Istanbul Stock Exchange

AKYER, Hasan; KALAYCI, Can Berk; AYGÖREN, Hakan;